Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P MidCap Momentum ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P MidCap Momentum ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.0%, MDD -30.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -55.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.7%, MDD -37.0%, Sharpe 0.73, 80% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 18.4%p (CAGR 10.0%, MDD -30.8%, exposure 74%).
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 entryN=41, exitN=79 |
10.7% | -37.0% | 0.73 | 0.29 | 8.8x | 29 | 80% |
| EMA 크로스오버 fast=25, slow=75 |
10.0% | -30.8% | 0.72 | 0.32 | 7.6x | 48 | 74% |
| SMA 크로스오버 fast=7, slow=157 |
9.2% | -31.9% | 0.68 | 0.29 | 6.5x | 51 | 73% |
| ROC 모멘텀 n=58, threshold=-0.04 |
6.6% | -47.8% | 0.48 | 0.14 | 4.0x | 156 | 83% |
| 볼린저 밴드 돌파 n=23, k=2.7 |
1.8% | -9.3% | 0.40 | 0.20 | 1.5x | 32 | 9% |
| Supertrend period=26, mult=5 |
4.6% | -32.7% | 0.39 | 0.14 | 2.6x | 82 | 68% |
| ADX / DI 방향성 period=34, threshold=25 |
1.0% | -7.2% | 0.37 | 0.14 | 1.2x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=15, mult=2 |
2.4% | -38.8% | 0.26 | 0.06 | 1.7x | 128 | 58% |
| Parabolic SAR step=0.005, maxStep=0.16 |
0.2% | -39.7% | 0.08 | 0.00 | 1.0x | 214 | 64% |
| MACD fast=24, slow=56, signal=31 |
-0.9% | -49.1% | -0.01 | -0.02 | 0.8x | 190 | 52% |
| Buy and hold | 11.5% | -55.4% | 0.60 | 0.21 | 10.2x | 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 41 days
- Sell — Sell when price breaks below the lowest low of the last 79 days