Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Solar ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Solar ETF. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -25.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.8%, drawdown -95.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.8%, MDD -45.5%, Sharpe 0.51, 27% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.0%, MDD -44.2%, exposure 34%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 4.9%, MDD -25.5%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=19, mult=3.7 |
8.8% | -45.5% | 0.51 | 0.19 | 4.7x | 34 | 27% |
| ROC 모멘텀 n=182, threshold=0.11 |
9.0% | -44.2% | 0.50 | 0.20 | 4.9x | 72 | 34% |
| 볼린저 밴드 돌파 n=37, k=2.9 |
4.9% | -25.5% | 0.44 | 0.19 | 2.4x | 24 | 11% |
| Donchian 채널 돌파 entryN=80, exitN=29 |
6.7% | -54.8% | 0.42 | 0.12 | 3.3x | 36 | 28% |
| ADX / DI 방향성 period=30, threshold=11 |
6.7% | -61.8% | 0.39 | 0.11 | 3.3x | 144 | 35% |
| SMA 크로스오버 fast=45, slow=131 |
7.1% | -64.9% | 0.39 | 0.11 | 3.5x | 34 | 44% |
| EMA 크로스오버 fast=38, slow=316 |
6.3% | -60.7% | 0.37 | 0.10 | 3.1x | 13 | 39% |
| Supertrend period=14, mult=4 |
4.5% | -68.8% | 0.30 | 0.07 | 2.2x | 94 | 45% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.7% | -75.5% | 0.12 | -0.01 | 0.9x | 163 | 49% |
| MACD fast=15, slow=113, signal=14 |
-2.2% | -75.4% | 0.08 | -0.03 | 0.7x | 200 | 52% |
| Buy and hold | -8.8% | -95.7% | 0.02 | -0.09 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 84-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 84-day average