Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Invesco Markets II PLC - Invesco GBP Corporate Bond Screened & Tilted UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Markets II PLC - Invesco GBP Corporate Bond Screened & Tilted UCITS ETF. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.2%, MDD -1.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.3%, drawdown -32.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.7%, MDD -2.8%, Sharpe 0.43, 1% exposure.
CAGR reference leader: Supertrend — CAGR 0.8%, MDD -13.0%, exposure 44%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 0.2%, MDD -1.1%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=5, threshold=0.03 |
0.7% | -2.8% | 0.43 | 0.27 | 1.0x | 10 | 1% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=18, mult=2.6 |
0.2% | -1.1% | 0.30 | 0.19 | 1.0x | 2 | 1% |
| Supertrend period=16, mult=4.8 |
0.8% | -13.0% | 0.21 | 0.06 | 1.1x | 16 | 44% |
| 볼린저 밴드 돌파 n=26, k=2.8 |
0.1% | -3.8% | 0.09 | 0.03 | 1.0x | 6 | 6% |
| Donchian 채널 돌파 entryN=19, exitN=72 |
-1.0% | -15.4% | -0.17 | -0.07 | 0.9x | 15 | 76% |
| ADX / DI 방향성 period=11, threshold=33 |
-1.0% | -11.8% | -0.37 | -0.09 | 0.9x | 31 | 11% |
| EMA 크로스오버 fast=50, slow=144 |
-1.6% | -12.8% | -0.47 | -0.13 | 0.9x | 10 | 40% |
| SMA 크로스오버 fast=55, slow=121 |
-1.8% | -14.0% | -0.48 | -0.13 | 0.9x | 12 | 43% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.4% | -28.7% | -0.88 | -0.15 | 0.7x | 62 | 49% |
| MACD fast=13, slow=44, signal=13 |
-4.6% | -27.1% | -0.96 | -0.17 | 0.7x | 80 | 47% |
| Buy and hold | -3.3% | -32.5% | -0.40 | -0.10 | 0.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than 3%
- Sell — Sell when the 5-day return drops to 3% or below