Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco DB Commodity Index Tracking Fund backtest
10 trend-following strategies were compared on the full daily history of Invesco DB Commodity Index Tracking Fund. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.7%, MDD -19.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.2%, drawdown -77.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -19.4%, Sharpe 0.48, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.1%, MDD -36.7%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 58.0%p (CAGR 3.7%, MDD -19.4%, exposure 12%).
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=76, k=2.9 |
3.7% | -19.4% | 0.48 | 0.19 | 2.1x | 14 | 12% |
| Donchian 채널 돌파 entryN=87, exitN=48 |
4.7% | -37.1% | 0.44 | 0.13 | 2.6x | 34 | 41% |
| ROC 모멘텀 n=161, threshold=0.11 |
4.3% | -40.7% | 0.44 | 0.11 | 2.4x | 71 | 26% |
| SMA 크로스오버 fast=22, slow=153 |
5.1% | -36.7% | 0.43 | 0.14 | 2.8x | 39 | 52% |
| EMA 크로스오버 fast=54, slow=79 |
3.7% | -38.8% | 0.33 | 0.09 | 2.1x | 43 | 53% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=17, mult=3.7 |
2.6% | -36.4% | 0.30 | 0.07 | 1.7x | 51 | 26% |
| ADX / DI 방향성 period=30, threshold=19 |
1.9% | -24.5% | 0.28 | 0.08 | 1.5x | 52 | 12% |
| Supertrend period=25, mult=3.3 |
1.1% | -50.1% | 0.15 | 0.02 | 1.3x | 147 | 54% |
| MACD fast=24, slow=52, signal=22 |
-1.2% | -55.0% | -0.02 | -0.02 | 0.8x | 179 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-1.5% | -63.8% | -0.05 | -0.02 | 0.7x | 179 | 53% |
| Buy and hold | 1.2% | -77.4% | 0.16 | 0.02 | 1.3x | 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 76-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 76-day middle average