Trend-Following Backtester · Guide · backtest 한국어
equity · US
Invesco Ltd backtest
10 trend-following strategies were compared on the full daily history of Invesco Ltd. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.3%, MDD -31.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -86.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.3%, MDD -31.8%, Sharpe 0.58, 10% exposure.
CAGR reference leader: Supertrend — CAGR 8.3%, MDD -57.6%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 55.0%p (CAGR 5.3%, MDD -31.8%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=101, k=3.3 |
5.3% | -31.8% | 0.58 | 0.17 | 5.0x | 8 | 10% |
| ADX / DI 방향성 period=47, threshold=18 |
4.9% | -37.0% | 0.46 | 0.13 | 4.3x | 34 | 11% |
| Supertrend period=24, mult=4.3 |
8.3% | -57.6% | 0.43 | 0.14 | 11.9x | 149 | 53% |
| SMA 크로스오버 fast=13, slow=209 |
7.0% | -59.9% | 0.39 | 0.12 | 8.0x | 63 | 56% |
| Donchian 채널 돌파 entryN=77, exitN=79 |
6.4% | -59.4% | 0.37 | 0.11 | 6.7x | 49 | 54% |
| EMA 크로스오버 fast=30, slow=191 |
4.7% | -65.6% | 0.31 | 0.07 | 4.2x | 57 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=3.7 |
2.5% | -48.7% | 0.23 | 0.05 | 2.1x | 98 | 26% |
| ROC 모멘텀 n=148, threshold=0 |
2.4% | -70.2% | 0.22 | 0.03 | 2.1x | 241 | 55% |
| MACD fast=24, slow=37, signal=16 |
-0.5% | -91.7% | 0.13 | -0.01 | 0.9x | 341 | 50% |
| Parabolic SAR step=0.06, maxStep=0.1 |
-1.1% | -94.1% | 0.10 | -0.01 | 0.7x | 752 | 53% |
| Buy and hold | 4.9% | -86.8% | 0.33 | 0.06 | 4.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 101-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 101-day middle average