Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Russell 1000 Dynamic Multifactor ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Russell 1000 Dynamic Multifactor ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.2%, drawdown -33.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.6%, MDD -27.5%, Sharpe 0.75, 98% 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 98% n=12, threshold=-0.11 |
12.6% | -27.5% | 0.75 | 0.46 | 2.9x | 11 | 98% |
| SMA 크로스오버 fast=27, slow=107 |
8.7% | -19.7% | 0.67 | 0.44 | 2.1x | 17 | 71% |
| Donchian 채널 돌파 entryN=7, exitN=105 |
10.2% | -37.5% | 0.67 | 0.27 | 2.4x | 21 | 93% |
| EMA 크로스오버 fast=21, slow=61 |
7.7% | -19.5% | 0.61 | 0.40 | 1.9x | 29 | 74% |
| MACD fast=13, slow=51, signal=16 |
3.9% | -20.9% | 0.40 | 0.19 | 1.4x | 102 | 47% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
1.6% | -6.3% | 0.39 | 0.25 | 1.1x | 2 | 3% |
| ADX / DI 방향성 period=38, threshold=29 |
0.2% | -0.5% | 0.33 | 0.46 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=3.9 |
0.3% | -2.2% | 0.32 | 0.15 | 1.0x | 2 | 1% |
| Supertrend period=26, mult=5 |
3.2% | -22.8% | 0.31 | 0.14 | 1.3x | 43 | 64% |
| Parabolic SAR step=0.005, maxStep=0.1 |
2.7% | -26.7% | 0.27 | 0.10 | 1.3x | 82 | 63% |
| Buy and hold | 12.2% | -33.5% | 0.68 | 0.36 | 2.8x | 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 12-day return is greater than -11%
- Sell — Sell when the 12-day return drops to -11% or below