Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco China Technology ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco China Technology ETF. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.0%, MDD -23.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.3%, drawdown -74.1%).
Sharpe leader (same as main): MACD — CAGR 9.1%, MDD -53.2%, Sharpe 0.53, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 7.0%, MDD -23.6%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=38, signal=19 |
9.1% | -53.2% | 0.53 | 0.17 | 4.2x | 156 | 50% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=21, mult=3.2 |
7.0% | -23.6% | 0.52 | 0.30 | 3.0x | 64 | 31% |
| Donchian 채널 돌파 entryN=51, exitN=28 |
6.5% | -34.6% | 0.45 | 0.19 | 2.8x | 48 | 42% |
| 볼린저 밴드 돌파 n=45, k=2 |
5.1% | -31.4% | 0.39 | 0.16 | 2.3x | 72 | 35% |
| Supertrend period=29, mult=2.8 |
5.7% | -49.1% | 0.37 | 0.12 | 2.5x | 170 | 56% |
| EMA 크로스오버 fast=62, slow=214 |
5.3% | -49.8% | 0.35 | 0.11 | 2.3x | 13 | 53% |
| Parabolic SAR step=0.015, maxStep=0.04 |
5.2% | -55.2% | 0.35 | 0.09 | 2.3x | 148 | 55% |
| SMA 크로스오버 fast=47, slow=196 |
3.5% | -55.0% | 0.27 | 0.06 | 1.8x | 27 | 55% |
| ROC 모멘텀 n=52, threshold=0.05 |
2.1% | -40.5% | 0.21 | 0.05 | 1.4x | 190 | 41% |
| ADX / DI 방향성 period=18, threshold=25 |
1.5% | -25.1% | 0.19 | 0.06 | 1.3x | 60 | 15% |
| Buy and hold | 4.3% | -74.1% | 0.29 | 0.06 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/38) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line