Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Invesco Bond Income Plus Limited backtest
10 trend-following strategies were compared on the full daily history of Invesco Bond Income Plus Limited. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.2%, MDD -9.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.5%, drawdown -59.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.2%, MDD -9.5%, Sharpe 0.45, 8% exposure.
CAGR reference leader: Supertrend — CAGR 1.6%, MDD -28.3%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 49.9%p (CAGR 1.2%, MDD -9.5%, exposure 8%).
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=12, atrPeriod=11, mult=3.4 |
1.2% | -9.5% | 0.45 | 0.13 | 1.5x | 66 | 8% |
| ADX / DI 방향성 period=31, threshold=32 |
1.0% | -12.9% | 0.42 | 0.08 | 1.4x | 20 | 6% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
0.8% | -8.2% | 0.37 | 0.10 | 1.3x | 28 | 4% |
| ROC 모멘텀 n=90, threshold=0.19 |
1.0% | -12.2% | 0.27 | 0.08 | 1.4x | 14 | 3% |
| Supertrend period=10, mult=3.8 |
1.6% | -28.3% | 0.21 | 0.06 | 1.7x | 180 | 53% |
| Donchian 채널 돌파 entryN=16, exitN=67 |
1.1% | -40.0% | 0.15 | 0.03 | 1.5x | 104 | 76% |
| SMA 크로스오버 fast=35, slow=207 |
0.2% | -39.7% | 0.07 | 0.00 | 1.1x | 68 | 55% |
| EMA 크로스오버 fast=43, slow=68 |
0.0% | -48.0% | 0.05 | 0.00 | 1.0x | 96 | 58% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.9% | -73.4% | -0.17 | -0.03 | 0.5x | 246 | 49% |
| MACD fast=22, slow=46, signal=19 |
-3.1% | -79.5% | -0.26 | -0.04 | 0.3x | 340 | 49% |
| Buy and hold | 1.5% | -59.4% | 0.17 | 0.03 | 1.7x | 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 12-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average