Trend-Following Backtester · Guide · backtest 한국어

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Invesco Short Term Treasury ETF backtest

10 trend-following strategies were compared on the full daily history of Invesco Short Term Treasury ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 2017-01-23 ~ 2026-07-31daily bars 2,394 (9.5 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR -0.0%, drawdown -1.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD 0.0%, Sharpe 0.00, 0% exposure.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=63, threshold=0.09
0.0%0.0%0.000.001.0x00%
볼린저 밴드 돌파
n=40, k=3.3
-0.2%-1.5%-0.35-0.111.0x47%
ADX / DI 방향성
period=38, threshold=50
-0.3%-2.6%-0.56-0.101.0x610%
Keltner 채널 돌파
emaPeriod=16, atrPeriod=20, mult=4
-0.4%-3.8%-0.63-0.111.0x812%
Donchian 채널 돌파
entryN=122, exitN=76
-0.9%-7.8%-0.84-0.110.9x1228%
SMA 크로스오버
fast=41, slow=198
-1.3%-11.3%-1.07-0.110.9x2239%
EMA 크로스오버
fast=102, slow=147
-1.8%-16.1%-1.39-0.110.8x2845%
Parabolic SAR
step=0.005, maxStep=0.02
-3.3%-27.2%-2.19-0.120.7x5343%
Supertrend
period=7, mult=5
-4.0%-32.6%-2.60-0.120.7x6231%
MACD
fast=24, slow=58, signal=19
-8.9%-58.8%-4.29-0.150.4x15653%
Buy and hold-0.0%-1.3%-0.02-0.021.0x1100%
1x 2018 2020 2022 2024 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -1% -3% -4% -5% 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown 0.0% (2017-01-23 → 2017-01-23), recovered after 1 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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