Trend-Following Backtester · Guide · backtest 한국어
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Invesco S&P 500 High Dividend Low Volatility ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 High Dividend Low Volatility ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.1%, MDD -24.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.5%, drawdown -42.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -25.9%, Sharpe 0.51, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 16.3%p (CAGR 5.1%, MDD -24.6%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 Hold-like · Exposure 98% entryN=2, exitN=168 |
6.3% | -25.9% | 0.51 | 0.24 | 2.3x | 21 | 98% |
| ROC 모멘텀 n=87, threshold=-0.09 |
5.1% | -24.6% | 0.46 | 0.21 | 2.0x | 21 | 93% |
| ADX / DI 방향성 period=36, threshold=26 |
0.7% | -5.4% | 0.33 | 0.13 | 1.1x | 6 | 6% |
| 볼린저 밴드 돌파 n=32, k=3.4 |
0.4% | -2.3% | 0.29 | 0.16 | 1.1x | 2 | 2% |
| EMA 크로스오버 fast=33, slow=314 |
2.2% | -28.1% | 0.26 | 0.08 | 1.4x | 15 | 74% |
| SMA 크로스오버 fast=37, slow=183 |
1.3% | -24.4% | 0.18 | 0.06 | 1.2x | 25 | 66% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.0% | -25.0% | 0.15 | 0.04 | 1.2x | 124 | 59% |
| Supertrend period=33, mult=3.4 |
0.8% | -28.5% | 0.13 | 0.03 | 1.1x | 85 | 63% |
| MACD fast=18, slow=33, signal=12 |
-0.4% | -27.3% | 0.01 | -0.01 | 0.9x | 175 | 51% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=26, mult=3.7 |
-0.3% | -23.3% | -0.03 | -0.01 | 1.0x | 28 | 18% |
| Buy and hold | 5.5% | -42.1% | 0.41 | 0.13 | 2.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 2 days
- Sell — Sell when price breaks below the lowest low of the last 168 days