Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Pure Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Pure Growth ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.5%, MDD -22.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -53.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.5%, MDD -22.3%, Sharpe 0.69, 69% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 31.4%p (CAGR 9.5%, MDD -22.3%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=118, exitN=110 |
9.5% | -22.3% | 0.69 | 0.43 | 6.4x | 15 | 69% |
| EMA 크로스오버 fast=36, slow=157 |
8.7% | -28.0% | 0.60 | 0.31 | 5.5x | 25 | 74% |
| SMA 크로스오버 fast=55, slow=208 |
8.5% | -36.8% | 0.57 | 0.23 | 5.3x | 19 | 71% |
| ROC 모멘텀 n=137, threshold=0 |
5.3% | -34.3% | 0.42 | 0.16 | 2.9x | 131 | 72% |
| Supertrend period=27, mult=4.6 |
4.5% | -31.6% | 0.38 | 0.14 | 2.5x | 98 | 67% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=2.2 |
3.6% | -21.0% | 0.37 | 0.17 | 2.1x | 114 | 51% |
| 볼린저 밴드 돌파 n=47, k=2.5 |
1.4% | -17.8% | 0.27 | 0.08 | 1.3x | 28 | 13% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.3% | -40.1% | 0.09 | 0.01 | 1.1x | 202 | 63% |
| MACD fast=14, slow=58, signal=15 |
-2.3% | -63.7% | -0.10 | -0.04 | 0.6x | 274 | 53% |
| ADX / DI 방향성 period=31, threshold=20 |
-1.3% | -27.0% | -0.33 | -0.05 | 0.8x | 32 | 5% |
| Buy and hold | 10.9% | -53.7% | 0.57 | 0.20 | 8.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 118 days
- Sell — Sell when price breaks below the lowest low of the last 110 days