Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Dorsey Wright Industrials Momentum ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Dorsey Wright Industrials Momentum ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.4%, MDD -32.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -60.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.4%, MDD -32.2%, Sharpe 0.62, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 28.1%p (CAGR 9.4%, MDD -32.2%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=39 |
9.4% | -32.2% | 0.62 | 0.29 | 5.9x | 66 | 69% |
| SMA 크로스오버 fast=13, slow=85 |
8.6% | -31.8% | 0.58 | 0.27 | 5.2x | 70 | 67% |
| Donchian 채널 돌파 entryN=96, exitN=94 |
7.7% | -25.3% | 0.52 | 0.30 | 4.4x | 23 | 66% |
| ROC 모멘텀 n=124, threshold=-0.11 |
8.2% | -36.9% | 0.48 | 0.22 | 4.8x | 65 | 88% |
| MACD fast=30, slow=70, signal=25 |
3.5% | -34.4% | 0.30 | 0.10 | 2.0x | 138 | 52% |
| Supertrend period=16, mult=4.4 |
3.1% | -51.9% | 0.27 | 0.06 | 1.8x | 112 | 61% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=4 |
1.7% | -23.9% | 0.22 | 0.07 | 1.4x | 62 | 26% |
| 볼린저 밴드 돌파 n=54, k=1.2 |
1.6% | -40.9% | 0.18 | 0.04 | 1.4x | 124 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.0% | -57.1% | 0.14 | 0.02 | 1.2x | 174 | 60% |
| ADX / DI 방향성 period=38, threshold=30 |
0.4% | -8.0% | 0.14 | 0.05 | 1.1x | 4 | 1% |
| Buy and hold | 11.3% | -60.3% | 0.55 | 0.19 | 8.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 39-day EMA
- Sell — Sell when the 38-day EMA falls below the 39-day EMA