Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 100 Equal Weight ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 100 Equal Weight ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.9%, MDD -22.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -50.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.9%, MDD -22.5%, Sharpe 0.64, 76% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 27.5%p (CAGR 6.9%, MDD -22.5%, exposure 76%).
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=64, slow=75 |
6.9% | -22.5% | 0.64 | 0.31 | 3.7x | 27 | 76% |
| SMA 크로스오버 fast=17, slow=143 |
6.4% | -24.7% | 0.62 | 0.26 | 3.4x | 43 | 73% |
| Donchian 채널 돌파 entryN=99, exitN=100 |
5.6% | -22.3% | 0.55 | 0.25 | 2.9x | 21 | 74% |
| ROC 모멘텀 n=112, threshold=-0.02 |
3.8% | -32.6% | 0.38 | 0.12 | 2.1x | 115 | 78% |
| Supertrend period=16, mult=5 |
3.3% | -21.3% | 0.37 | 0.15 | 1.9x | 99 | 64% |
| 볼린저 밴드 돌파 n=56, k=2.7 |
0.9% | -11.5% | 0.29 | 0.08 | 1.2x | 12 | 9% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=1.9 |
1.5% | -21.6% | 0.21 | 0.07 | 1.4x | 137 | 60% |
| ADX / DI 방향성 period=33, threshold=23 |
0.5% | -8.8% | 0.20 | 0.05 | 1.1x | 10 | 6% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.5% | -46.0% | -0.08 | -0.03 | 0.7x | 187 | 65% |
| MACD fast=19, slow=23, signal=21 |
-3.0% | -51.7% | -0.23 | -0.06 | 0.5x | 274 | 51% |
| Buy and hold | 8.7% | -50.1% | 0.55 | 0.17 | 5.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 64-day EMA crosses above the 75-day EMA
- Sell — Sell when the 64-day EMA falls below the 75-day EMA