Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco DB Base Metals Fund backtest
10 trend-following strategies were compared on the full daily history of Invesco DB Base Metals Fund. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -5.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.3%, drawdown -62.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.4%, MDD -30.3%, Sharpe 0.31, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 0.6%, MDD -5.6%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=122, exitN=73 |
3.4% | -30.3% | 0.31 | 0.11 | 1.9x | 19 | 38% |
| SMA 크로스오버 fast=37, slow=184 |
3.3% | -38.7% | 0.30 | 0.09 | 1.9x | 31 | 47% |
| ADX / DI 방향성 period=27, threshold=38 |
0.6% | -5.6% | 0.28 | 0.11 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=57, slow=138 |
2.4% | -35.2% | 0.23 | 0.07 | 1.6x | 27 | 47% |
| ROC 모멘텀 n=188, threshold=0.08 |
1.4% | -39.9% | 0.18 | 0.04 | 1.3x | 79 | 32% |
| Supertrend period=11, mult=4.6 |
0.9% | -42.6% | 0.13 | 0.02 | 1.2x | 84 | 49% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
0.7% | -34.1% | 0.12 | 0.02 | 1.1x | 64 | 29% |
| MACD fast=25, slow=44, signal=20 |
0.5% | -49.6% | 0.11 | 0.01 | 1.1x | 159 | 52% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=29, mult=4 |
0.2% | -42.7% | 0.07 | 0.00 | 1.0x | 46 | 29% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-5.4% | -78.2% | -0.29 | -0.07 | 0.3x | 178 | 49% |
| Buy and hold | 0.3% | -62.8% | 0.13 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 122 days
- Sell — Sell when price breaks below the lowest low of the last 73 days