Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Equal Weight Consumer Staples ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Equal Weight Consumer Staples ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.7%, drawdown -37.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.5%, MDD -25.9%, Sharpe 0.47, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 97% n=38, threshold=-0.11 |
5.5% | -25.9% | 0.47 | 0.21 | 2.9x | 21 | 97% |
| ADX / DI 방향성 period=44, threshold=25 |
1.2% | -7.0% | 0.41 | 0.17 | 1.3x | 6 | 6% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
3.5% | -41.1% | 0.34 | 0.08 | 2.0x | 52 | 88% |
| EMA 크로스오버 fast=36, slow=213 |
2.5% | -39.1% | 0.28 | 0.06 | 1.6x | 34 | 70% |
| SMA 크로스오버 fast=16, slow=104 |
1.6% | -32.9% | 0.20 | 0.05 | 1.4x | 68 | 66% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=30, mult=3.9 |
0.3% | -11.8% | 0.11 | 0.03 | 1.1x | 30 | 9% |
| 볼린저 밴드 돌파 n=26, k=3.1 |
0.1% | -3.7% | 0.08 | 0.03 | 1.0x | 4 | 2% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.1% | -28.6% | 0.03 | -0.00 | 1.0x | 174 | 61% |
| MACD fast=35, slow=48, signal=39 |
-0.3% | -29.8% | 0.01 | -0.01 | 0.9x | 126 | 51% |
| Supertrend period=25, mult=3.7 |
-1.2% | -38.4% | -0.07 | -0.03 | 0.8x | 152 | 64% |
| Buy and hold | 5.7% | -37.5% | 0.45 | 0.15 | 3.0x | 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 38-day return is greater than -11%
- Sell — Sell when the 38-day return drops to -11% or below