Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco QQQ Trust, Series 1 backtest
10 trend-following strategies were compared on the full daily history of Invesco QQQ Trust, Series 1. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.3%, MDD -36.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.9%, drawdown -83.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.3%, MDD -36.5%, Sharpe 0.68, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 11.3%, MDD -36.5%, exposure 74%).
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=43, slow=153 |
11.3% | -36.5% | 0.68 | 0.31 | 19.0x | 31 | 74% |
| ROC 모멘텀 n=178, threshold=-0.08 |
11.2% | -42.2% | 0.64 | 0.26 | 18.2x | 71 | 82% |
| SMA 크로스오버 fast=49, slow=168 |
10.1% | -36.5% | 0.62 | 0.28 | 14.0x | 39 | 70% |
| Donchian 채널 돌파 entryN=112, exitN=68 |
6.8% | -32.2% | 0.52 | 0.21 | 6.1x | 41 | 60% |
| Supertrend period=25, mult=4.5 |
7.3% | -49.0% | 0.52 | 0.15 | 6.9x | 102 | 64% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
4.3% | -38.8% | 0.36 | 0.11 | 3.1x | 178 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=30, mult=2.5 |
3.8% | -31.1% | 0.35 | 0.12 | 2.8x | 132 | 47% |
| ADX / DI 방향성 period=49, threshold=11 |
2.3% | -28.0% | 0.26 | 0.08 | 1.8x | 126 | 27% |
| MACD fast=19, slow=79, signal=23 |
2.0% | -57.4% | 0.21 | 0.04 | 1.7x | 254 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.1% | -62.2% | 0.09 | 0.00 | 1.0x | 294 | 61% |
| Buy and hold | 9.9% | -83.0% | 0.49 | 0.12 | 13.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 153-day EMA
- Sell — Sell when the 43-day EMA falls below the 153-day EMA