Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 GARP ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 GARP 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.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -42.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.6%, MDD -36.4%, Sharpe 0.74, 99% 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 99% n=3, threshold=-0.08 |
12.6% | -36.4% | 0.74 | 0.35 | 6.0x | 21 | 99% |
| Donchian 채널 돌파 entryN=27, exitN=59 |
8.5% | -30.0% | 0.67 | 0.28 | 3.4x | 35 | 82% |
| EMA 크로스오버 fast=46, slow=121 |
8.4% | -27.0% | 0.66 | 0.31 | 3.4x | 19 | 82% |
| SMA 크로스오버 fast=29, slow=146 |
7.0% | -33.3% | 0.56 | 0.21 | 2.8x | 29 | 78% |
| 볼린저 밴드 돌파 n=74, k=2.7 |
2.8% | -12.1% | 0.55 | 0.23 | 1.5x | 14 | 18% |
| Supertrend period=17, mult=5 |
4.6% | -19.9% | 0.45 | 0.23 | 2.0x | 67 | 67% |
| ADX / DI 방향성 period=23, threshold=38 |
0.2% | -1.8% | 0.25 | 0.13 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=8, mult=1.5 |
1.6% | -35.1% | 0.20 | 0.04 | 1.3x | 111 | 66% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.2% | -32.8% | 0.16 | 0.04 | 1.2x | 149 | 64% |
| MACD fast=16, slow=30, signal=14 |
-2.4% | -41.8% | -0.16 | -0.06 | 0.7x | 237 | 51% |
| Buy and hold | 13.0% | -42.4% | 0.73 | 0.31 | 6.3x | 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 3-day return is greater than -8%
- Sell — Sell when the 3-day return drops to -8% or below