Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco RAFI US 1000 ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco RAFI US 1000 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 7.7%, MDD -23.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -61.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.7%, MDD -23.8%, Sharpe 0.68, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 37.8%p (CAGR 7.7%, MDD -23.8%, exposure 74%).
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=40, slow=121 |
7.7% | -23.8% | 0.68 | 0.32 | 4.6x | 29 | 74% |
| SMA 크로스오버 fast=17, slow=139 |
7.5% | -27.8% | 0.68 | 0.27 | 4.4x | 41 | 70% |
| Donchian 채널 돌파 entryN=55, exitN=78 |
7.2% | -25.3% | 0.62 | 0.29 | 4.2x | 31 | 75% |
| ROC 모멘텀 n=142, threshold=-0.03 |
6.5% | -31.7% | 0.56 | 0.20 | 3.6x | 79 | 78% |
| 볼린저 밴드 돌파 n=48, k=2.8 |
1.1% | -10.3% | 0.39 | 0.11 | 1.3x | 8 | 6% |
| Supertrend period=15, mult=5 |
3.3% | -26.5% | 0.36 | 0.13 | 2.0x | 81 | 58% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.4% | -36.1% | 0.33 | 0.09 | 2.0x | 107 | 69% |
| ADX / DI 방향성 period=27, threshold=23 |
0.8% | -9.3% | 0.22 | 0.08 | 1.2x | 24 | 7% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=16, mult=1.4 |
1.4% | -27.2% | 0.19 | 0.05 | 1.3x | 175 | 55% |
| MACD fast=15, slow=18, signal=22 |
-2.5% | -45.8% | -0.14 | -0.05 | 0.6x | 322 | 51% |
| Buy and hold | 8.6% | -61.6% | 0.52 | 0.14 | 5.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 121-day EMA
- Sell — Sell when the 40-day EMA falls below the 121-day EMA