Trend-Following Backtester · Guide · backtest 한국어
etf · US
Innovator U.S. Equity Power Buffer ETF - October backtest
10 trend-following strategies were compared on the full daily history of Innovator U.S. Equity Power Buffer ETF - October. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -8.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -18.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -8.7%, Sharpe 1.24, 77% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.1%, MDD -11.5%, exposure 90%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 10.1%p (CAGR 7.3%, MDD -8.7%, exposure 77%).
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=11, slow=212 |
7.3% | -8.7% | 1.24 | 0.84 | 1.8x | 11 | 77% |
| EMA 크로스오버 fast=16, slow=155 |
7.0% | -11.3% | 1.16 | 0.62 | 1.7x | 11 | 81% |
| Donchian 채널 돌파 entryN=18, exitN=68 |
7.6% | -13.6% | 1.15 | 0.56 | 1.8x | 13 | 90% |
| ROC 모멘텀 n=174, threshold=-0.07 |
8.1% | -11.5% | 1.04 | 0.70 | 1.9x | 3 | 90% |
| Supertrend period=23, mult=5 |
4.4% | -19.2% | 0.72 | 0.23 | 1.4x | 25 | 80% |
| Parabolic SAR step=0.02, maxStep=0.02 |
3.5% | -12.2% | 0.62 | 0.28 | 1.3x | 47 | 80% |
| ADX / DI 방향성 period=60, threshold=20 |
0.9% | -4.2% | 0.55 | 0.22 | 1.1x | 6 | 14% |
| 볼린저 밴드 돌파 n=67, k=1.6 |
2.0% | -14.4% | 0.43 | 0.14 | 1.2x | 35 | 68% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=3.2 |
1.3% | -10.5% | 0.35 | 0.13 | 1.1x | 27 | 50% |
| MACD fast=30, slow=38, signal=21 |
0.1% | -14.7% | 0.05 | 0.01 | 1.0x | 61 | 45% |
| Buy and hold | 8.6% | -18.8% | 0.87 | 0.46 | 1.9x | 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 11-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 11-day average falls below the 212-day average