Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco High Yield Equity Dividend Achievers ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco High Yield Equity Dividend Achievers ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.0%, MDD -39.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.3%, drawdown -75.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.0%, MDD -39.7%, Sharpe 0.22, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 2.3%, MDD -62.2%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 35.9%p (CAGR 2.0%, MDD -39.7%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=141 |
2.0% | -39.7% | 0.22 | 0.05 | 1.5x | 43 | 61% |
| ROC 모멘텀 Hold-like · Exposure 96% n=18, threshold=-0.08 |
2.3% | -62.2% | 0.22 | 0.04 | 1.7x | 81 | 96% |
| EMA 크로스오버 fast=53, slow=117 |
1.7% | -42.2% | 0.21 | 0.04 | 1.4x | 37 | 68% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
0.3% | -3.1% | 0.17 | 0.09 | 1.1x | 8 | 1% |
| Supertrend period=20, mult=4.1 |
1.1% | -33.2% | 0.15 | 0.03 | 1.3x | 95 | 61% |
| Donchian 채널 돌파 entryN=50, exitN=53 |
0.6% | -41.4% | 0.11 | 0.02 | 1.1x | 51 | 61% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.8% | -50.9% | -0.13 | -0.05 | 0.5x | 205 | 59% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=20, mult=2.3 |
-1.7% | -46.1% | -0.13 | -0.04 | 0.7x | 105 | 36% |
| ADX / DI 방향성 period=32, threshold=33 |
-0.0% | -1.2% | -0.14 | -0.03 | 1.0x | 2 | 0% |
| MACD fast=24, slow=39, signal=16 |
-4.3% | -67.0% | -0.24 | -0.06 | 0.4x | 257 | 49% |
| Buy and hold | 2.3% | -75.6% | 0.21 | 0.03 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 54-day average falls below the 141-day average