Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco BulletShares 2027 High Yield Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco BulletShares 2027 High Yield Corporate Bond ETF. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.6%, drawdown -23.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -0.5%, Sharpe 0.50, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 0.0%, MDD -0.5%, exposure 0%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=47, threshold=0.13 |
0.4% | -0.5% | 0.50 | 0.86 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=23, k=2.7 |
0.1% | -3.5% | 0.11 | 0.04 | 1.0x | 4 | 4% |
| SMA 크로스오버 fast=41, slow=125 |
0.1% | -10.4% | 0.05 | 0.01 | 1.0x | 18 | 44% |
| EMA 크로스오버 fast=59, slow=265 |
0.1% | -6.2% | 0.04 | 0.01 | 1.0x | 4 | 51% |
| ADX / DI 방향성 period=20, threshold=33 |
0.0% | -0.5% | 0.04 | 0.02 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=20, exitN=63 |
-1.1% | -13.4% | -0.17 | -0.08 | 0.9x | 21 | 73% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=21, mult=3.6 |
-0.5% | -6.3% | -0.22 | -0.08 | 1.0x | 8 | 9% |
| Supertrend period=23, mult=4.1 |
-3.2% | -26.9% | -0.53 | -0.12 | 0.8x | 36 | 61% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.4% | -32.0% | -0.80 | -0.14 | 0.7x | 57 | 52% |
| MACD fast=15, slow=47, signal=10 |
-5.2% | -38.3% | -0.90 | -0.14 | 0.7x | 90 | 46% |
| Buy and hold | -1.6% | -23.3% | -0.13 | -0.07 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 47-day return is greater than 13%
- Sell — Sell when the 47-day return drops to 13% or below