Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Leisure and Entertainment ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Leisure and Entertainment ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -30.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.4%, drawdown -67.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -37.9%, Sharpe 0.48, 66% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.3%, MDD -61.2%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 29.5%p (CAGR 5.6%, MDD -30.1%, exposure 59%).
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=44, slow=92 |
6.2% | -37.9% | 0.48 | 0.16 | 3.5x | 37 | 66% |
| Donchian 채널 돌파 entryN=86, exitN=70 |
5.6% | -30.1% | 0.47 | 0.19 | 3.2x | 35 | 59% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.09 |
8.3% | -61.2% | 0.46 | 0.14 | 5.4x | 43 | 99% |
| SMA 크로스오버 fast=28, slow=150 |
5.9% | -43.5% | 0.46 | 0.13 | 3.3x | 41 | 65% |
| Supertrend period=25, mult=3.3 |
5.6% | -46.1% | 0.42 | 0.12 | 3.2x | 147 | 64% |
| ADX / DI 방향성 period=28, threshold=18 |
1.7% | -17.4% | 0.26 | 0.10 | 1.4x | 68 | 16% |
| MACD fast=12, slow=55, signal=12 |
2.5% | -53.2% | 0.24 | 0.05 | 1.7x | 299 | 51% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=3.8 |
1.6% | -36.3% | 0.22 | 0.04 | 1.4x | 63 | 29% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
1.1% | -32.8% | 0.19 | 0.03 | 1.3x | 38 | 17% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.6% | -39.1% | 0.12 | 0.02 | 1.1x | 203 | 59% |
| Buy and hold | 7.4% | -67.3% | 0.42 | 0.11 | 4.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 92-day EMA
- Sell — Sell when the 44-day EMA falls below the 92-day EMA