Trend-Following Backtester · Guide · backtest 한국어
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Invesco Global Clean Energy ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Global Clean Energy ETF. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -19.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.0%, drawdown -79.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.8%, MDD -43.2%, Sharpe 0.60, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 36.1%p (CAGR 3.1%, MDD -19.2%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=12, mult=1.4 |
7.8% | -43.2% | 0.60 | 0.18 | 4.2x | 124 | 41% |
| ROC 모멘텀 n=176, threshold=0.13 |
6.0% | -35.3% | 0.52 | 0.17 | 3.1x | 82 | 28% |
| 볼린저 밴드 돌파 n=32, k=1.4 |
6.4% | -40.1% | 0.50 | 0.16 | 3.3x | 140 | 38% |
| Donchian 채널 돌파 entryN=110, exitN=18 |
5.0% | -30.2% | 0.50 | 0.16 | 2.5x | 46 | 23% |
| ADX / DI 방향성 period=31, threshold=26 |
3.1% | -19.2% | 0.49 | 0.16 | 1.8x | 10 | 5% |
| SMA 크로스오버 fast=44, slow=222 |
5.8% | -40.6% | 0.43 | 0.14 | 2.9x | 19 | 44% |
| EMA 크로스오버 fast=24, slow=176 |
4.5% | -47.0% | 0.35 | 0.10 | 2.3x | 28 | 45% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.4% | -60.3% | 0.33 | 0.07 | 2.3x | 166 | 52% |
| Supertrend period=11, mult=3.1 |
4.0% | -52.6% | 0.32 | 0.08 | 2.1x | 148 | 47% |
| MACD fast=15, slow=52, signal=14 |
3.7% | -59.0% | 0.28 | 0.06 | 2.0x | 208 | 53% |
| Buy and hold | -2.0% | -79.2% | 0.08 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 37-day average + 1.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 37-day average