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. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -29.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -61.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.9%, MDD -31.6%, Sharpe 0.54, 74% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.5%, MDD -29.5%, exposure 82%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 30.1%p (CAGR 7.5%, MDD -29.5%, exposure 82%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=47, slow=106 |
6.9% | -31.6% | 0.54 | 0.22 | 3.7x | 31 | 74% |
| Donchian 채널 돌파 entryN=60, exitN=103 |
7.5% | -29.5% | 0.54 | 0.26 | 4.2x | 23 | 82% |
| SMA 크로스오버 fast=51, slow=89 |
6.5% | -28.5% | 0.52 | 0.23 | 3.5x | 47 | 68% |
| ROC 모멘텀 n=114, threshold=-0.02 |
6.2% | -38.1% | 0.49 | 0.16 | 3.2x | 103 | 75% |
| Supertrend period=15, mult=3.8 |
3.2% | -31.8% | 0.30 | 0.10 | 1.9x | 151 | 64% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=18, mult=1.3 |
1.6% | -28.8% | 0.19 | 0.06 | 1.4x | 153 | 62% |
| 볼린저 밴드 돌파 n=57, k=1.5 |
0.8% | -34.2% | 0.13 | 0.02 | 1.2x | 115 | 49% |
| Parabolic SAR step=0.01, maxStep=0.1 |
0.3% | -40.9% | 0.09 | 0.01 | 1.1x | 262 | 61% |
| ADX / DI 방향성 period=39, threshold=14 |
-0.5% | -23.8% | -0.02 | -0.02 | 0.9x | 100 | 21% |
| MACD fast=15, slow=44, signal=12 |
-1.9% | -53.7% | -0.07 | -0.04 | 0.7x | 300 | 51% |
| Buy and hold | 9.7% | -61.6% | 0.54 | 0.16 | 6.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 106-day EMA
- Sell — Sell when the 47-day EMA falls below the 106-day EMA