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 Donchian 채널 돌파 (CAGR 9.1%, MDD -32.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -41.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.4%, MDD -32.8%, Sharpe 0.69, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 8.3%p (CAGR 9.1%, MDD -32.5%, exposure 90%).
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=12, threshold=-0.1 |
10.4% | -32.8% | 0.69 | 0.32 | 7.2x | 27 | 99% |
| 볼린저 밴드 돌파 n=77, k=2.4 |
4.8% | -18.7% | 0.65 | 0.26 | 2.5x | 35 | 34% |
| Donchian 채널 돌파 entryN=7, exitN=52 |
9.1% | -32.5% | 0.65 | 0.28 | 5.6x | 67 | 90% |
| Keltner 채널 돌파 emaPeriod=81, atrPeriod=22, mult=3.9 |
4.7% | -23.5% | 0.56 | 0.20 | 2.5x | 51 | 46% |
| SMA 크로스오버 fast=12, slow=136 |
5.8% | -33.5% | 0.53 | 0.17 | 3.1x | 61 | 67% |
| EMA 크로스오버 fast=44, slow=82 |
5.9% | -27.7% | 0.52 | 0.21 | 3.2x | 41 | 69% |
| MACD fast=38, slow=68, signal=33 |
3.8% | -29.9% | 0.40 | 0.13 | 2.1x | 116 | 54% |
| Supertrend period=18, mult=5 |
3.8% | -30.1% | 0.39 | 0.13 | 2.1x | 83 | 61% |
| ADX / DI 방향성 period=39, threshold=12 |
3.0% | -25.5% | 0.38 | 0.12 | 1.8x | 123 | 38% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.2% | -38.3% | 0.08 | 0.01 | 1.0x | 180 | 62% |
| Buy and hold | 10.5% | -41.1% | 0.65 | 0.26 | 7.3x | 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 12-day return is greater than -10%
- Sell — Sell when the 12-day return drops to -10% or below