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. 5 beat buy-and-hold CAGR; EMA 크로스오버 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
5 of 10 beat buy and hold (CAGR 0.8%, drawdown -69.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.9%, MDD -31.1%, Sharpe 0.31, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 38.3%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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=150 |
2.9% | -31.1% | 0.31 | 0.09 | 1.8x | 23 | 42% |
| 볼린저 밴드 돌파 n=37, k=2.7 |
1.9% | -25.2% | 0.29 | 0.07 | 1.4x | 45 | 16% |
| Donchian 채널 돌파 entryN=97, exitN=56 |
2.4% | -33.0% | 0.27 | 0.07 | 1.6x | 27 | 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 |
2.1% | -40.0% | 0.24 | 0.05 | 1.5x | 33 | 45% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=10, mult=2.9 |
0.6% | -29.9% | 0.12 | 0.02 | 1.1x | 73 | 24% |
| ROC 모멘텀 n=134, threshold=-0.06 |
-0.0% | -67.9% | 0.06 | -0.00 | 1.0x | 121 | 69% |
| MACD fast=28, slow=66, signal=34 |
-0.9% | -51.5% | -0.02 | -0.02 | 0.8x | 133 | 53% |
| Supertrend period=16, mult=4.1 |
-1.7% | -54.7% | -0.11 | -0.03 | 0.7x | 101 | 44% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-6.0% | -80.1% | -0.49 | -0.08 | 0.3x | 275 | 48% |
| Buy and hold | 0.8% | -69.4% | 0.13 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 150-day EMA
- Sell — Sell when the 58-day EMA falls below the 150-day EMA