Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Dorsey Wright Technology Momentum ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Dorsey Wright Technology 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 9.9%, MDD -33.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -55.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.9%, MDD -33.8%, Sharpe 0.55, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 21.6%p (CAGR 9.9%, MDD -33.8%, exposure 70%).
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=24, slow=50 |
9.9% | -33.8% | 0.55 | 0.29 | 6.5x | 68 | 70% |
| Donchian 채널 돌파 entryN=21, exitN=71 |
9.6% | -47.5% | 0.50 | 0.20 | 6.1x | 46 | 84% |
| SMA 크로스오버 fast=53, slow=147 |
8.4% | -38.6% | 0.46 | 0.22 | 5.0x | 33 | 67% |
| Supertrend period=27, mult=5 |
6.6% | -32.4% | 0.43 | 0.20 | 3.5x | 94 | 60% |
| ROC 모멘텀 n=69, threshold=-0.03 |
5.9% | -57.5% | 0.37 | 0.10 | 3.1x | 146 | 75% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.5% | -44.4% | 0.27 | 0.08 | 2.0x | 108 | 64% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=7, mult=2.5 |
2.5% | -39.3% | 0.23 | 0.06 | 1.6x | 132 | 46% |
| 볼린저 밴드 돌파 n=59, k=1 |
2.1% | -45.1% | 0.21 | 0.05 | 1.5x | 144 | 55% |
| ADX / DI 방향성 period=37, threshold=20 |
0.6% | -11.4% | 0.18 | 0.05 | 1.1x | 4 | 3% |
| MACD fast=19, slow=27, signal=19 |
-3.0% | -56.4% | -0.07 | -0.05 | 0.5x | 260 | 52% |
| Buy and hold | 13.1% | -55.4% | 0.57 | 0.24 | 11.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 50-day EMA
- Sell — Sell when the 24-day EMA falls below the 50-day EMA