Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Equal Weight Industrials Portfolio backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Equal Weight Industrials Portfolio. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.9%, MDD -26.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -61.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.4%, MDD -44.4%, Sharpe 0.60, 98% 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 1.2%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 7.9%, MDD -26.0%, exposure 81%).
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 98% n=8, threshold=-0.09 |
10.4% | -44.4% | 0.60 | 0.23 | 7.1x | 45 | 98% |
| Donchian 채널 돌파 entryN=49, exitN=87 |
7.9% | -26.0% | 0.57 | 0.30 | 4.6x | 30 | 81% |
| EMA 크로스오버 fast=48, slow=103 |
6.4% | -32.1% | 0.51 | 0.20 | 3.4x | 36 | 74% |
| SMA 크로스오버 fast=59, slow=94 |
6.2% | -33.2% | 0.50 | 0.19 | 3.3x | 47 | 69% |
| Supertrend period=16, mult=3.9 |
3.4% | -32.7% | 0.31 | 0.10 | 1.9x | 148 | 64% |
| 볼린저 밴드 돌파 n=79, k=2.7 |
1.1% | -13.5% | 0.26 | 0.08 | 1.3x | 16 | 12% |
| Keltner 채널 돌파 emaPeriod=89, atrPeriod=15, mult=2.7 |
2.2% | -27.1% | 0.25 | 0.08 | 1.6x | 92 | 55% |
| Parabolic SAR step=0.01, maxStep=0.1 |
0.1% | -40.9% | 0.08 | 0.00 | 1.0x | 264 | 61% |
| MACD fast=18, slow=23, signal=16 |
-0.1% | -43.6% | 0.07 | -0.00 | 1.0x | 276 | 50% |
| ADX / DI 방향성 period=33, threshold=12 |
-0.6% | -36.6% | -0.01 | -0.02 | 0.9x | 152 | 35% |
| Buy and hold | 9.2% | -61.6% | 0.52 | 0.15 | 5.8x | 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 8-day return is greater than -9%
- Sell — Sell when the 8-day return drops to -9% or below