Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco RAFI Developed Markets ex-U.S. ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco RAFI Developed Markets ex-U.S. ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.4%, MDD -24.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.3%, drawdown -65.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -32.9%, Sharpe 0.42, 57% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 3.4%, MDD -24.1%, exposure 48%).
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=23, slow=218 |
4.6% | -32.9% | 0.42 | 0.14 | 2.4x | 33 | 57% |
| ROC 모멘텀 n=174, threshold=0.03 |
3.4% | -24.1% | 0.36 | 0.14 | 1.9x | 95 | 48% |
| EMA 크로스오버 fast=51, slow=142 |
3.7% | -29.1% | 0.35 | 0.13 | 2.0x | 27 | 59% |
| 볼린저 밴드 돌파 n=77, k=3.5 |
0.8% | -8.0% | 0.34 | 0.10 | 1.2x | 2 | 6% |
| Donchian 채널 돌파 entryN=65, exitN=55 |
2.4% | -32.9% | 0.26 | 0.07 | 1.6x | 37 | 51% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=26, mult=3.9 |
0.1% | -38.7% | 0.05 | 0.00 | 1.0x | 52 | 31% |
| MACD fast=28, slow=54, signal=28 |
-0.8% | -44.5% | 0.01 | -0.02 | 0.9x | 146 | 49% |
| Supertrend period=20, mult=5 |
-1.0% | -52.7% | -0.01 | -0.02 | 0.8x | 83 | 57% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.0% | -61.7% | -0.16 | -0.05 | 0.6x | 171 | 54% |
| ADX / DI 방향성 period=39, threshold=16 |
-2.8% | -48.6% | -0.23 | -0.06 | 0.6x | 52 | 13% |
| Buy and hold | 2.3% | -65.7% | 0.22 | 0.04 | 1.6x | 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 23-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 23-day average falls below the 218-day average