Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P International Developed Momentum ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P International Developed Momentum ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -22.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.2%, drawdown -40.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -22.1%, Sharpe 0.52, 69% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 6.7%, MDD -22.1%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=193 |
6.7% | -22.1% | 0.52 | 0.30 | 2.5x | 23 | 69% |
| EMA 크로스오버 fast=21, slow=177 |
6.3% | -25.4% | 0.50 | 0.25 | 2.4x | 19 | 71% |
| Donchian 채널 돌파 entryN=44, exitN=86 |
5.8% | -21.8% | 0.47 | 0.27 | 2.3x | 23 | 72% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=33, mult=3.5 |
3.7% | -16.0% | 0.43 | 0.23 | 1.7x | 62 | 38% |
| ROC 모멘텀 n=109, threshold=-0.07 |
5.3% | -42.3% | 0.41 | 0.12 | 2.1x | 57 | 80% |
| Parabolic SAR step=0.015, maxStep=0.04 |
2.3% | -27.3% | 0.24 | 0.08 | 1.4x | 124 | 61% |
| 볼린저 밴드 돌파 n=48, k=1.6 |
1.4% | -16.9% | 0.19 | 0.09 | 1.2x | 74 | 42% |
| ADX / DI 방향성 period=39, threshold=38 |
0.1% | -0.5% | 0.19 | 0.20 | 1.0x | 2 | 0% |
| MACD fast=13, slow=49, signal=17 |
-0.2% | -36.9% | 0.05 | -0.00 | 1.0x | 176 | 49% |
| Supertrend period=23, mult=4.3 |
-0.6% | -40.2% | 0.02 | -0.01 | 0.9x | 129 | 65% |
| Buy and hold | 6.2% | -40.6% | 0.40 | 0.15 | 2.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 13-day average falls below the 193-day average