Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco NASDAQ 100 ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco NASDAQ 100 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 15.9%, MDD -15.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.3%, drawdown -35.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.9%, MDD -15.9%, Sharpe 1.05, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 19.6%p (CAGR 15.9%, MDD -15.9%, exposure 72%).
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=65, slow=116 |
15.9% | -15.9% | 1.05 | 1.00 | 2.4x | 5 | 72% |
| SMA 크로스오버 fast=27, slow=146 |
14.5% | -15.5% | 1.01 | 0.94 | 2.2x | 7 | 67% |
| Supertrend period=15, mult=4.9 |
11.7% | -18.3% | 0.95 | 0.64 | 1.9x | 20 | 54% |
| ROC 모멘텀 n=148, threshold=0.02 |
13.4% | -16.4% | 0.93 | 0.82 | 2.1x | 17 | 68% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=25, mult=2.4 |
9.4% | -14.5% | 0.86 | 0.65 | 1.7x | 26 | 45% |
| Donchian 채널 돌파 entryN=89, exitN=19 |
7.6% | -10.4% | 0.72 | 0.73 | 1.5x | 18 | 42% |
| 볼린저 밴드 돌파 n=41, k=1.1 |
6.9% | -23.1% | 0.58 | 0.30 | 1.5x | 44 | 54% |
| ADX / DI 방향성 period=38, threshold=21 |
1.5% | -7.2% | 0.38 | 0.21 | 1.1x | 4 | 6% |
| Parabolic SAR step=0.005, maxStep=0.34 |
4.4% | -26.6% | 0.37 | 0.17 | 1.3x | 61 | 63% |
| MACD fast=24, slow=36, signal=20 |
3.0% | -21.9% | 0.29 | 0.13 | 1.2x | 63 | 47% |
| Buy and hold | 16.3% | -35.6% | 0.79 | 0.46 | 2.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 65-day EMA crosses above the 116-day EMA
- Sell — Sell when the 65-day EMA falls below the 116-day EMA