Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Equal Weight Consumer Discretionary ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Equal Weight Consumer Discretionary ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.2%, MDD -31.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -68.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -31.6%, Sharpe 0.47, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 37.2%p (CAGR 6.2%, MDD -31.6%, exposure 68%).
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=35, slow=275 |
6.2% | -31.6% | 0.47 | 0.20 | 3.3x | 21 | 68% |
| EMA 크로스오버 fast=43, slow=156 |
5.0% | -34.4% | 0.41 | 0.15 | 2.6x | 37 | 69% |
| Supertrend period=18, mult=4.4 |
3.6% | -31.5% | 0.30 | 0.11 | 2.0x | 111 | 60% |
| Donchian 채널 돌파 entryN=80, exitN=67 |
2.9% | -28.8% | 0.28 | 0.10 | 1.7x | 40 | 57% |
| Keltner 채널 돌파 emaPeriod=81, atrPeriod=11, mult=3.2 |
2.2% | -42.2% | 0.25 | 0.05 | 1.5x | 80 | 45% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.4% | -36.4% | 0.17 | 0.04 | 1.3x | 181 | 60% |
| ROC 모멘텀 n=15, threshold=0.13 |
0.4% | -16.0% | 0.10 | 0.02 | 1.1x | 42 | 2% |
| 볼린저 밴드 돌파 n=47, k=1.3 |
0.2% | -38.3% | 0.08 | 0.00 | 1.0x | 136 | 46% |
| MACD fast=16, slow=26, signal=14 |
-0.6% | -48.2% | 0.04 | -0.01 | 0.9x | 296 | 50% |
| ADX / DI 방향성 period=11, threshold=38 |
-0.5% | -23.7% | -0.07 | -0.02 | 0.9x | 52 | 6% |
| Buy and hold | 6.8% | -68.8% | 0.39 | 0.10 | 3.7x | 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 35-day average price crosses above the 275-day average
- Sell — Sell (to cash) when the 35-day average falls below the 275-day average