Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P 500 Momentum ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P 500 Momentum ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -17.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.4%, drawdown -31.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -17.9%, Sharpe 0.97, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 13.4%p (CAGR 14.1%, MDD -17.9%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=9, slow=158 |
14.1% | -17.9% | 0.97 | 0.79 | 4.2x | 21 | 77% |
| Donchian 채널 돌파 entryN=36, exitN=72 |
13.5% | -27.4% | 0.92 | 0.49 | 3.9x | 17 | 82% |
| EMA 크로스오버 fast=12, slow=110 |
13.4% | -26.6% | 0.92 | 0.51 | 3.9x | 25 | 79% |
| ROC 모멘텀 Hold-like · Exposure 97% n=28, threshold=-0.11 |
13.5% | -28.3% | 0.80 | 0.48 | 3.9x | 23 | 97% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=28, mult=2 |
8.0% | -20.0% | 0.71 | 0.40 | 2.3x | 58 | 60% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
6.2% | -26.3% | 0.62 | 0.23 | 1.9x | 62 | 49% |
| ADX / DI 방향성 period=32, threshold=16 |
3.9% | -15.9% | 0.51 | 0.24 | 1.5x | 32 | 26% |
| Supertrend period=25, mult=4.6 |
5.8% | -33.8% | 0.50 | 0.17 | 1.8x | 72 | 64% |
| MACD fast=24, slow=53, signal=19 |
4.7% | -28.3% | 0.46 | 0.16 | 1.6x | 100 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.9% | -25.3% | 0.44 | 0.20 | 1.7x | 98 | 65% |
| Buy and hold | 17.4% | -31.3% | 0.89 | 0.56 | 5.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 9-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 9-day average falls below the 158-day average