Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Invesco Real Estate S&P US Select Sector UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Real Estate S&P US Select Sector UCITS ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 60.4%, drawdown -29.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 60.4%, MDD -29.1%, Sharpe 0.31, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 100% n=1, threshold=-0.13 |
60.4% | -29.1% | 0.31 | 2.07 | 150.5x | 3 | 100% |
| EMA 크로스오버 fast=54, slow=217 |
54.2% | -33.0% | 0.31 | 1.64 | 99.3x | 9 | 70% |
| Donchian 채널 돌파 entryN=4, exitN=79 |
53.7% | -35.6% | 0.31 | 1.51 | 95.9x | 42 | 94% |
| SMA 크로스오버 fast=23, slow=185 |
53.5% | -31.5% | 0.31 | 1.70 | 94.4x | 19 | 60% |
| Supertrend period=20, mult=3.2 |
53.3% | -30.3% | 0.31 | 1.76 | 93.4x | 124 | 59% |
| Parabolic SAR step=0.01, maxStep=0.1 |
49.4% | -33.0% | 0.31 | 1.50 | 70.9x | 124 | 57% |
| MACD fast=19, slow=70, signal=16 |
48.2% | -29.8% | 0.31 | 1.62 | 65.3x | 106 | 50% |
| 볼린저 밴드 돌파 n=24, k=1 |
46.1% | -35.0% | 0.31 | 1.32 | 56.1x | 138 | 47% |
| ADX / DI 방향성 period=33, threshold=18 |
-0.4% | -19.6% | -0.01 | -0.02 | 1.0x | 22 | 19% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=10, mult=1.7 |
-1.6% | -32.8% | -0.01 | -0.05 | 0.8x | 80 | 52% |
| Buy and hold | 60.4% | -29.5% | 0.31 | 2.05 | 151.1x | 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 1-day return is greater than -13%
- Sell — Sell when the 1-day return drops to -13% or below