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 5.2%, 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 8.7%, MDD -57.6%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%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 |
4.8% | -37.0% | 0.46 | 0.13 | 4.3x | 34 | 11% |
| Supertrend period=24, mult=4.3 |
8.7% | -57.6% | 0.44 | 0.15 | 13.2x | 149 | 53% |
| SMA 크로스오버 fast=13, slow=209 |
7.3% | -59.9% | 0.41 | 0.12 | 8.9x | 63 | 56% |
| Donchian 채널 돌파 entryN=77, exitN=79 |
6.7% | -59.4% | 0.39 | 0.11 | 7.5x | 49 | 54% |
| EMA 크로스오버 fast=30, slow=191 |
5.1% | -65.6% | 0.32 | 0.08 | 4.6x | 57 | 55% |
| ROC 모멘텀 n=148, threshold=0 |
2.7% | -70.2% | 0.23 | 0.04 | 2.3x | 241 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=3.7 |
2.4% | -48.7% | 0.22 | 0.05 | 2.1x | 99 | 26% |
| MACD fast=24, slow=37, signal=16 |
-0.1% | -91.7% | 0.14 | -0.00 | 1.0x | 341 | 50% |
| Parabolic SAR step=0.06, maxStep=0.1 |
-1.1% | -94.1% | 0.10 | -0.01 | 0.7x | 755 | 53% |
| Buy and hold | 5.2% | -86.8% | 0.33 | 0.06 | 4.8x | 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