Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco DB Agriculture Fund backtest
10 trend-following strategies were compared on the full daily history of Invesco DB Agriculture Fund. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -24.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.5%, drawdown -69.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -25.2%, Sharpe 0.29, 16% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.6%, MDD -31.1%, exposure 42%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 1.5%, MDD -24.1%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=37, k=2.7 |
1.9% | -25.2% | 0.29 | 0.08 | 1.4x | 44 | 16% |
| EMA 크로스오버 fast=58, slow=150 |
2.6% | -31.1% | 0.28 | 0.08 | 1.7x | 23 | 42% |
| Donchian 채널 돌파 entryN=97, exitN=56 |
2.5% | -33.0% | 0.27 | 0.07 | 1.6x | 26 | 42% |
| ADX / DI 방향성 period=30, threshold=20 |
1.5% | -24.1% | 0.26 | 0.06 | 1.3x | 42 | 11% |
| SMA 크로스오버 fast=40, slow=168 |
1.8% | -40.0% | 0.21 | 0.05 | 1.4x | 33 | 44% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=10, mult=2.9 |
0.6% | -29.9% | 0.11 | 0.02 | 1.1x | 71 | 24% |
| ROC 모멘텀 n=134, threshold=-0.06 |
-0.3% | -67.9% | 0.04 | -0.01 | 0.9x | 121 | 69% |
| MACD fast=28, slow=66, signal=34 |
-1.2% | -51.5% | -0.04 | -0.02 | 0.8x | 133 | 53% |
| Supertrend period=16, mult=4.1 |
-2.0% | -54.7% | -0.14 | -0.04 | 0.7x | 101 | 44% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-6.2% | -80.1% | -0.51 | -0.08 | 0.3x | 274 | 48% |
| Buy and hold | 0.5% | -69.4% | 0.11 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 37-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 37-day middle average