Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Oil & Gas Services ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Oil & Gas Services ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -8.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.1%, drawdown -95.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -8.7%, Sharpe 0.32, 1% exposure.
CAGR reference leader: Supertrend — CAGR 3.7%, MDD -49.6%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 86.7%p (CAGR 0.8%, MDD -8.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=27 |
0.8% | -8.7% | 0.32 | 0.09 | 1.2x | 2 | 1% |
| 볼린저 밴드 돌파 n=11, k=2.6 |
1.8% | -18.5% | 0.32 | 0.10 | 1.5x | 24 | 3% |
| Supertrend period=28, mult=3.5 |
3.7% | -49.6% | 0.27 | 0.07 | 2.1x | 131 | 49% |
| SMA 크로스오버 fast=25, slow=258 |
3.2% | -56.7% | 0.25 | 0.06 | 1.9x | 31 | 49% |
| Donchian 채널 돌파 entryN=20, exitN=69 |
1.7% | -67.8% | 0.20 | 0.02 | 1.4x | 65 | 75% |
| ROC 모멘텀 n=83, threshold=0.04 |
1.1% | -67.9% | 0.16 | 0.02 | 1.3x | 240 | 43% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.0% | -67.3% | 0.12 | -0.00 | 1.0x | 187 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=11, mult=1.8 |
0.1% | -68.5% | 0.10 | 0.00 | 1.0x | 156 | 36% |
| EMA 크로스오버 fast=14, slow=187 |
-0.4% | -62.8% | 0.09 | -0.01 | 0.9x | 51 | 49% |
| MACD fast=13, slow=28, signal=16 |
-1.7% | -77.4% | 0.07 | -0.02 | 0.7x | 299 | 51% |
| Buy and hold | -3.1% | -95.4% | 0.11 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)