Trend-Following Backtester · Guide · backtest 한국어
etf · US
Innovator U.S. Equity Power Buffer ETF - November backtest
10 trend-following strategies were compared on the full daily history of Innovator U.S. Equity Power Buffer ETF - November. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.3%, MDD -11.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.6%, drawdown -18.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.7%, MDD -10.3%, Sharpe 1.16, 78% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.3%, MDD -11.6%, exposure 93%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 8.2%p (CAGR 9.3%, MDD -11.6%, exposure 93%).
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=104, slow=216 |
7.7% | -10.3% | 1.16 | 0.75 | 1.7x | 3 | 78% |
| ROC 모멘텀 n=107, threshold=-0.08 |
9.3% | -11.6% | 1.11 | 0.81 | 1.9x | 3 | 93% |
| EMA 크로스오버 fast=52, slow=152 |
7.1% | -10.3% | 1.10 | 0.69 | 1.6x | 5 | 79% |
| Keltner 채널 돌파 emaPeriod=118, atrPeriod=14, mult=2.1 |
5.8% | -9.4% | 1.07 | 0.62 | 1.5x | 15 | 73% |
| Donchian 채널 돌파 entryN=97, exitN=57 |
5.2% | -8.6% | 1.01 | 0.61 | 1.4x | 11 | 68% |
| Parabolic SAR step=0.02, maxStep=0.02 |
5.9% | -6.2% | 0.97 | 0.95 | 1.5x | 29 | 81% |
| Supertrend period=11, mult=5 |
5.3% | -6.9% | 0.96 | 0.78 | 1.4x | 21 | 75% |
| MACD fast=16, slow=49, signal=19 |
1.9% | -13.9% | 0.39 | 0.14 | 1.1x | 56 | 42% |
| 볼린저 밴드 돌파 n=45, k=1.4 |
1.6% | -13.5% | 0.36 | 0.12 | 1.1x | 41 | 66% |
| ADX / DI 방향성 period=31, threshold=37 |
0.0% | -0.5% | 0.11 | 0.09 | 1.0x | 2 | 0% |
| Buy and hold | 8.6% | -18.5% | 0.85 | 0.47 | 1.8x | 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 104-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 104-day average falls below the 216-day average