Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Invesco EQQQ Nasdaq-100 UCITS ETF GBP Hdg Acc backtest
10 trend-following strategies were compared on the full daily history of Invesco EQQQ Nasdaq-100 UCITS ETF GBP Hdg Acc. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.6%, MDD -21.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.8%, drawdown -36.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 14.2%, MDD -20.2%, Sharpe 0.98, 68% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.6%, MDD -21.0%, exposure 73%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 16.5%p (CAGR 14.6%, MDD -21.0%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.04 |
14.2% | -20.2% | 0.98 | 0.70 | 3.2x | 80 | 68% |
| SMA 크로스오버 fast=4, slow=159 |
14.6% | -21.0% | 0.95 | 0.69 | 3.3x | 21 | 73% |
| MACD fast=19, slow=73, signal=39 |
11.4% | -21.3% | 0.90 | 0.53 | 2.6x | 50 | 52% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=22, mult=1.8 |
10.7% | -16.7% | 0.89 | 0.64 | 2.4x | 56 | 54% |
| EMA 크로스오버 fast=55, slow=119 |
14.2% | -29.4% | 0.89 | 0.48 | 3.2x | 11 | 76% |
| ROC 모멘텀 n=92, threshold=-0.03 |
14.3% | -25.5% | 0.88 | 0.56 | 3.2x | 35 | 78% |
| 볼린저 밴드 돌파 n=49, k=0.5 |
10.4% | -22.0% | 0.78 | 0.47 | 2.4x | 68 | 65% |
| Supertrend period=26, mult=4.1 |
9.5% | -24.0% | 0.72 | 0.40 | 2.2x | 62 | 62% |
| Donchian 채널 돌파 entryN=66, exitN=79 |
10.1% | -24.3% | 0.68 | 0.42 | 2.3x | 11 | 76% |
| ADX / DI 방향성 period=22, threshold=18 |
0.7% | -23.6% | 0.12 | 0.03 | 1.1x | 46 | 21% |
| Buy and hold | 17.8% | -36.8% | 0.88 | 0.49 | 4.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots