Trend-Following Backtester · Guide · backtest 한국어
etf · CA
CI Invesco NASDAQ 100 Index ETF Trust Units backtest
10 trend-following strategies were compared on the full daily history of CI Invesco NASDAQ 100 Index ETF Trust Units. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.8%, MDD -14.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.4%, drawdown -31.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.5%, MDD -8.6%, Sharpe 1.23, 48% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.8%, MDD -14.0%, exposure 64%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 23.3%p (CAGR 16.8%, MDD -14.0%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=28, mult=2.4 |
14.5% | -8.6% | 1.23 | 1.68 | 2.0x | 22 | 48% |
| MACD fast=37, slow=65, signal=19 |
15.2% | -15.8% | 1.18 | 0.96 | 2.1x | 28 | 48% |
| SMA 크로스오버 fast=8, slow=192 |
16.8% | -14.0% | 1.18 | 1.20 | 2.3x | 5 | 64% |
| EMA 크로스오버 fast=17, slow=166 |
15.4% | -14.7% | 1.09 | 1.05 | 2.1x | 5 | 64% |
| Parabolic SAR step=0.035, maxStep=0.04 |
14.5% | -18.5% | 1.04 | 0.78 | 2.0x | 49 | 66% |
| 볼린저 밴드 돌파 n=58, k=1 |
13.4% | -15.4% | 1.04 | 0.87 | 1.9x | 22 | 55% |
| Supertrend period=17, mult=4 |
12.8% | -19.3% | 1.02 | 0.66 | 1.9x | 26 | 57% |
| Donchian 채널 돌파 entryN=20, exitN=20 |
13.9% | -19.4% | 0.99 | 0.72 | 2.0x | 26 | 63% |
| ROC 모멘텀 n=89, threshold=0.03 |
11.7% | -13.9% | 0.86 | 0.84 | 1.8x | 31 | 61% |
| ADX / DI 방향성 period=26, threshold=12 |
9.3% | -12.5% | 0.78 | 0.75 | 1.6x | 46 | 55% |
| Buy and hold | 18.4% | -31.9% | 0.91 | 0.58 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 35-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 35-day average