Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco NASDAQ Next Gen 100 ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco NASDAQ Next Gen 100 ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.8%, MDD -17.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -40.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -17.5%, Sharpe 0.68, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 22.8%p (CAGR 8.8%, MDD -17.5%, exposure 64%).
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=34, slow=142 |
8.8% | -17.5% | 0.68 | 0.50 | 1.6x | 9 | 64% |
| EMA 크로스오버 fast=25, slow=149 |
8.0% | -20.2% | 0.65 | 0.39 | 1.6x | 9 | 60% |
| ROC 모멘텀 n=113, threshold=-0.09 |
7.7% | -24.3% | 0.54 | 0.32 | 1.6x | 17 | 80% |
| Supertrend period=21, mult=4.4 |
4.6% | -26.6% | 0.40 | 0.17 | 1.3x | 25 | 57% |
| Donchian 채널 돌파 entryN=29, exitN=56 |
5.2% | -27.2% | 0.40 | 0.19 | 1.3x | 13 | 77% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=17, mult=2.2 |
2.8% | -21.8% | 0.31 | 0.13 | 1.2x | 33 | 39% |
| 볼린저 밴드 돌파 n=34, k=1.2 |
2.0% | -19.2% | 0.23 | 0.11 | 1.1x | 47 | 45% |
| ADX / DI 방향성 period=17, threshold=28 |
0.2% | -4.6% | 0.10 | 0.05 | 1.0x | 4 | 4% |
| MACD fast=18, slow=45, signal=12 |
-2.8% | -41.2% | -0.14 | -0.07 | 0.8x | 70 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-5.3% | -48.3% | -0.31 | -0.11 | 0.7x | 114 | 58% |
| Buy and hold | 9.3% | -40.2% | 0.52 | 0.23 | 1.7x | 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 34-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 34-day average falls below the 142-day average