Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Senior Loan ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Senior Loan ETF. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.4%, drawdown -32.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.34, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 0.1%, MDD -0.5%, exposure 0%).
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=50, threshold=0.12 |
0.1% | -0.5% | 0.34 | 0.19 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=26, mult=3.8 |
-0.0% | -1.9% | -0.05 | -0.02 | 1.0x | 4 | 1% |
| ADX / DI 방향성 period=24, threshold=32 |
-0.1% | -2.1% | -0.13 | -0.03 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=22, k=2.9 |
-0.1% | -2.3% | -0.27 | -0.04 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=5, exitN=73 |
-2.4% | -33.5% | -0.55 | -0.07 | 0.7x | 73 | 88% |
| Supertrend period=28, mult=5 |
-2.2% | -29.2% | -0.61 | -0.08 | 0.7x | 60 | 58% |
| SMA 크로스오버 fast=42, slow=134 |
-1.6% | -24.7% | -0.66 | -0.06 | 0.8x | 38 | 44% |
| EMA 크로스오버 fast=59, slow=170 |
-1.7% | -24.9% | -0.86 | -0.07 | 0.8x | 32 | 38% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.3% | -49.1% | -1.17 | -0.09 | 0.5x | 125 | 52% |
| MACD fast=22, slow=33, signal=26 |
-5.6% | -59.1% | -1.69 | -0.09 | 0.4x | 155 | 48% |
| Buy and hold | -1.4% | -32.2% | -0.20 | -0.04 | 0.8x | 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 50-day return is greater than 12%
- Sell — Sell when the 50-day return drops to 12% or below