Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Taxable Municipal Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Taxable Municipal Bond ETF. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 0.8%, MDD -20.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.3%, drawdown -29.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -0.7%, Sharpe 0.26, 0% exposure.
CAGR reference leader: Supertrend — CAGR 0.8%, MDD -20.4%, exposure 55%.
Return/drawdown alternative: Supertrend — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 28.8%p (CAGR 0.8%, MDD -20.4%, exposure 55%).
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 n=5, threshold=0.05 |
0.2% | -0.7% | 0.26 | 0.28 | 1.0x | 2 | 0% |
| Supertrend period=28, mult=4.9 |
0.8% | -20.4% | 0.16 | 0.04 | 1.1x | 40 | 55% |
| Donchian 채널 돌파 entryN=66, exitN=59 |
0.3% | -24.1% | 0.09 | 0.01 | 1.1x | 32 | 52% |
| ADX / DI 방향성 period=41, threshold=21 |
0.1% | -4.2% | 0.09 | 0.03 | 1.0x | 8 | 4% |
| 볼린저 밴드 돌파 n=21, k=3.2 |
0.1% | -4.0% | 0.08 | 0.02 | 1.0x | 8 | 3% |
| SMA 크로스오버 fast=43, slow=101 |
0.1% | -28.2% | 0.05 | 0.00 | 1.0x | 38 | 56% |
| EMA 크로스오버 fast=54, slow=87 |
-0.5% | -34.9% | -0.03 | -0.01 | 0.9x | 24 | 57% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=3.9 |
-0.0% | -1.5% | -0.04 | -0.02 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.2% | -42.7% | -0.53 | -0.08 | 0.6x | 134 | 56% |
| MACD fast=19, slow=43, signal=22 |
-3.6% | -50.1% | -0.59 | -0.07 | 0.5x | 166 | 51% |
| Buy and hold | 0.3% | -29.5% | 0.08 | 0.01 | 1.0x | 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 5-day return is greater than 5%
- Sell — Sell when the 5-day return drops to 5% or below