Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Value Municipal Income Trust backtest
10 trend-following strategies were compared on the full daily history of Invesco Value Municipal Income Trust. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -4.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.5%, drawdown -46.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -4.2%, Sharpe 0.17, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 0.1%, MDD -4.2%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=78, threshold=0.22 |
0.1% | -4.2% | 0.17 | 0.03 | 1.0x | 10 | 0% |
| SMA 크로스오버 fast=70, slow=289 |
-0.2% | -40.3% | 0.02 | -0.00 | 0.9x | 33 | 54% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
0.0% | -10.8% | 0.02 | 0.00 | 1.0x | 18 | 5% |
| Donchian 채널 돌파 entryN=55, exitN=71 |
-0.4% | -39.7% | -0.00 | -0.01 | 0.9x | 65 | 60% |
| ADX / DI 방향성 period=29, threshold=37 |
-0.0% | -4.6% | -0.02 | -0.01 | 1.0x | 6 | 1% |
| Supertrend period=32, mult=4.8 |
-1.0% | -40.4% | -0.07 | -0.03 | 0.7x | 114 | 58% |
| EMA 크로스오버 fast=41, slow=138 |
-1.1% | -51.8% | -0.09 | -0.02 | 0.7x | 61 | 54% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=17, mult=3.8 |
-0.2% | -13.6% | -0.11 | -0.02 | 0.9x | 20 | 3% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-1.5% | -48.4% | -0.13 | -0.03 | 0.6x | 160 | 57% |
| MACD fast=21, slow=55, signal=41 |
-2.4% | -57.4% | -0.24 | -0.04 | 0.4x | 250 | 52% |
| Buy and hold | -0.5% | -46.6% | 0.03 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 78-day return is greater than 22%
- Sell — Sell when the 78-day return drops to 22% or below