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. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -33.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -18.5%, Sharpe 0.64, 70% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=118 |
8.1% | -18.5% | 0.64 | 0.44 | 2.0x | 19 | 70% |
| Donchian 채널 돌파 entryN=22, exitN=74 |
8.0% | -30.8% | 0.58 | 0.26 | 2.0x | 21 | 85% |
| EMA 크로스오버 fast=17, slow=92 |
7.2% | -21.5% | 0.58 | 0.33 | 1.8x | 25 | 72% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
1.6% | -6.3% | 0.39 | 0.25 | 1.1x | 2 | 4% |
| ROC 모멘텀 n=72, threshold=-0.04 |
4.7% | -36.7% | 0.38 | 0.13 | 1.5x | 65 | 81% |
| MACD fast=14, slow=68, signal=24 |
3.6% | -19.8% | 0.37 | 0.18 | 1.4x | 74 | 48% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=3.9 |
0.3% | -2.2% | 0.32 | 0.16 | 1.0x | 2 | 1% |
| Supertrend period=29, mult=3.2 |
2.7% | -32.2% | 0.26 | 0.08 | 1.3x | 74 | 66% |
| Parabolic SAR step=0.015, maxStep=0.3 |
1.1% | -32.7% | 0.15 | 0.03 | 1.1x | 166 | 60% |
| ADX / DI 방향성 period=14, threshold=35 |
-0.1% | -8.2% | -0.05 | -0.02 | 1.0x | 10 | 4% |
| Buy and hold | 12.3% | -33.5% | 0.68 | 0.37 | 2.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 118-day average
- Sell — Sell (to cash) when the 13-day average falls below the 118-day average