Trend-Following Backtester · Guide · backtest 한국어
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Invesco Ultra Short Duration ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Ultra Short Duration ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR -0.0%, drawdown -12.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.8%, MDD -21.9%, Sharpe -0.17, 57% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.8%, MDD -13.1%, exposure 0%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=79, exitN=114 |
-0.8% | -21.9% | -0.17 | -0.04 | 0.9x | 20 | 57% |
| ROC 모멘텀 n=87, threshold=0.07 |
-0.8% | -13.1% | -0.24 | -0.06 | 0.9x | 2 | 0% |
| ADX / DI 방향성 period=26, threshold=51 |
-0.8% | -13.9% | -0.26 | -0.06 | 0.9x | 4 | 1% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
-1.0% | -16.8% | -0.32 | -0.06 | 0.8x | 10 | 0% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=10, mult=3.8 |
-1.0% | -17.6% | -0.34 | -0.06 | 0.8x | 12 | 1% |
| EMA 크로스오버 fast=58, slow=185 |
-1.1% | -19.5% | -0.35 | -0.06 | 0.8x | 18 | 52% |
| SMA 크로스오버 fast=32, slow=173 |
-1.5% | -24.6% | -0.43 | -0.06 | 0.8x | 32 | 55% |
| MACD fast=53, slow=107, signal=49 |
-3.3% | -45.8% | -0.93 | -0.07 | 0.5x | 94 | 45% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-3.7% | -49.9% | -1.11 | -0.07 | 0.5x | 100 | 56% |
| Supertrend period=8, mult=4.9 |
-3.9% | -52.2% | -1.19 | -0.08 | 0.5x | 98 | 35% |
| Buy and hold | -0.0% | -12.1% | 0.02 | -0.00 | 1.0x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 114 days