Trend-Following Backtester · Guide · backtest 한국어
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Invesco S&P 500 Equal Weight Health Care ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Equal Weight Health Care ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.3%, MDD -30.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -41.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -33.7%, Sharpe 0.65, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 7.4%p (CAGR 8.3%, MDD -30.6%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=13, threshold=-0.11 |
9.9% | -33.7% | 0.65 | 0.29 | 6.4x | 23 | 99% |
| SMA 크로스오버 fast=82, slow=226 |
8.3% | -30.6% | 0.65 | 0.27 | 4.8x | 21 | 68% |
| Donchian 채널 돌파 entryN=17, exitN=53 |
7.5% | -27.9% | 0.59 | 0.27 | 4.1x | 57 | 83% |
| EMA 크로스오버 fast=41, slow=86 |
5.7% | -28.4% | 0.51 | 0.20 | 3.0x | 41 | 69% |
| 볼린저 밴드 돌파 n=49, k=2.7 |
1.8% | -10.3% | 0.37 | 0.17 | 1.4x | 23 | 15% |
| ADX / DI 방향성 period=39, threshold=12 |
2.7% | -25.5% | 0.36 | 0.11 | 1.7x | 123 | 37% |
| Supertrend period=14, mult=5 |
3.0% | -32.8% | 0.33 | 0.09 | 1.8x | 85 | 58% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2.4 |
2.2% | -31.3% | 0.28 | 0.07 | 1.5x | 107 | 49% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.0% | -38.3% | 0.06 | -0.00 | 1.0x | 179 | 62% |
| MACD fast=10, slow=50, signal=18 |
-2.6% | -53.1% | -0.18 | -0.05 | 0.6x | 287 | 52% |
| Buy and hold | 10.2% | -41.1% | 0.63 | 0.25 | 6.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than -11%
- Sell — Sell when the 13-day return drops to -11% or below