Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Large Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Large Cap Value ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -50.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -23.8%, Sharpe 0.59, 71% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.9%, MDD -45.8%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=16, slow=160 |
6.1% | -23.8% | 0.59 | 0.25 | 3.5x | 37 | 71% |
| EMA 크로스오버 fast=52, slow=85 |
5.6% | -26.7% | 0.55 | 0.21 | 3.2x | 35 | 73% |
| ROC 모멘텀 Hold-like · Exposure 98% n=12, threshold=-0.09 |
7.9% | -45.8% | 0.55 | 0.17 | 5.1x | 37 | 98% |
| Donchian 채널 돌파 entryN=100, exitN=54 |
4.4% | -17.6% | 0.51 | 0.25 | 2.5x | 41 | 60% |
| Supertrend period=21, mult=4.1 |
2.7% | -34.7% | 0.30 | 0.08 | 1.8x | 115 | 65% |
| 볼린저 밴드 돌파 n=21, k=3.4 |
0.2% | -2.2% | 0.26 | 0.08 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=26, threshold=30 |
0.3% | -5.1% | 0.24 | 0.06 | 1.1x | 7 | 2% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=27, mult=1.3 |
0.2% | -45.5% | 0.07 | 0.01 | 1.1x | 153 | 62% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.4% | -39.5% | 0.02 | -0.01 | 0.9x | 205 | 63% |
| MACD fast=14, slow=31, signal=19 |
-2.3% | -54.5% | -0.16 | -0.04 | 0.6x | 291 | 52% |
| Buy and hold | 8.1% | -50.7% | 0.51 | 0.16 | 5.3x | 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 16-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 16-day average falls below the 160-day average