Trend-Following Backtester · Guide · backtest 한국어
etf · US
Innovator U.S. Equity Power Buffer ETF - September backtest
10 trend-following strategies were compared on the full daily history of Innovator U.S. Equity Power Buffer ETF - September. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -9.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -17.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -9.9%, Sharpe 1.26, 74% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 8.0%p (CAGR 8.4%, MDD -9.9%, exposure 74%).
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=73, slow=270 |
8.4% | -9.9% | 1.26 | 0.84 | 1.7x | 3 | 74% |
| ROC 모멘텀 n=133, threshold=-0.04 |
7.9% | -13.7% | 1.05 | 0.58 | 1.7x | 11 | 87% |
| Supertrend period=10, mult=5 |
5.7% | -6.7% | 1.04 | 0.85 | 1.5x | 23 | 72% |
| Donchian 채널 돌파 entryN=19, exitN=73 |
7.5% | -11.5% | 1.03 | 0.66 | 1.7x | 13 | 89% |
| EMA 크로스오버 fast=21, slow=144 |
6.5% | -16.8% | 1.02 | 0.39 | 1.5x | 9 | 80% |
| Parabolic SAR step=0.005, maxStep=0.02 |
6.0% | -11.0% | 0.98 | 0.54 | 1.5x | 29 | 79% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=3.7 |
1.8% | -6.0% | 0.61 | 0.31 | 1.1x | 17 | 29% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
0.3% | -3.0% | 0.26 | 0.11 | 1.0x | 2 | 3% |
| MACD fast=18, slow=51, signal=16 |
0.8% | -14.2% | 0.17 | 0.05 | 1.1x | 64 | 44% |
| ADX / DI 방향성 period=17, threshold=29 |
0.3% | -5.5% | 0.15 | 0.05 | 1.0x | 14 | 13% |
| Buy and hold | 9.6% | -17.9% | 0.96 | 0.53 | 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 73-day average price crosses above the 270-day average
- Sell — Sell (to cash) when the 73-day average falls below the 270-day average