Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Equal Weight 0-30 Year Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Equal Weight 0-30 Year Treasury ETF. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -9.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.2%, drawdown -36.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -9.3%, Sharpe 0.15, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.5%, MDD -16.4%, exposure 31%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 0.4%, MDD -9.3%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=3.5 |
0.4% | -9.3% | 0.15 | 0.04 | 1.1x | 10 | 5% |
| Donchian 채널 돌파 entryN=97, exitN=37 |
0.5% | -16.4% | 0.12 | 0.03 | 1.1x | 34 | 31% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=9, mult=4 |
0.1% | -1.7% | 0.10 | 0.04 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=22, slow=255 |
0.2% | -19.2% | 0.07 | 0.01 | 1.0x | 30 | 44% |
| ROC 모멘텀 n=29, threshold=0.14 |
0.0% | -2.9% | 0.01 | 0.00 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=47, slow=180 |
-0.3% | -23.9% | -0.02 | -0.01 | 0.9x | 34 | 45% |
| ADX / DI 방향성 period=39, threshold=19 |
-0.3% | -12.2% | -0.09 | -0.02 | 1.0x | 10 | 5% |
| Supertrend period=12, mult=5 |
-1.3% | -35.5% | -0.16 | -0.04 | 0.8x | 70 | 47% |
| MACD fast=27, slow=69, signal=23 |
-1.6% | -34.7% | -0.21 | -0.05 | 0.7x | 131 | 47% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.1% | -50.8% | -0.44 | -0.06 | 0.6x | 148 | 49% |
| Buy and hold | 0.2% | -36.1% | 0.07 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 38-day middle average