Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P MidCap Value with Momentum ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P MidCap Value with Momentum ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -25.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -63.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -25.5%, Sharpe 0.57, 68% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.4%, MDD -52.2%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 38.3%p (CAGR 7.0%, MDD -25.5%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=60 |
7.0% | -25.5% | 0.57 | 0.27 | 4.3x | 43 | 68% |
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.08 |
8.4% | -52.2% | 0.51 | 0.16 | 5.7x | 59 | 98% |
| Donchian 채널 돌파 entryN=61, exitN=83 |
6.3% | -29.3% | 0.51 | 0.21 | 3.7x | 33 | 69% |
| SMA 크로스오버 fast=18, slow=177 |
6.0% | -30.4% | 0.50 | 0.20 | 3.5x | 37 | 67% |
| ADX / DI 방향성 period=40, threshold=22 |
1.0% | -8.5% | 0.31 | 0.12 | 1.2x | 6 | 3% |
| Supertrend period=12, mult=5 |
1.4% | -37.0% | 0.17 | 0.04 | 1.4x | 94 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=2.2 |
1.1% | -36.0% | 0.15 | 0.03 | 1.3x | 130 | 51% |
| 볼린저 밴드 돌파 n=12, k=2.8 |
0.3% | -7.0% | 0.13 | 0.04 | 1.1x | 14 | 2% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.1% | -41.6% | 0.08 | 0.00 | 1.0x | 200 | 60% |
| MACD fast=10, slow=37, signal=16 |
-3.5% | -70.3% | -0.18 | -0.05 | 0.5x | 336 | 51% |
| Buy and hold | 7.3% | -63.8% | 0.43 | 0.11 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 60-day EMA
- Sell — Sell when the 53-day EMA falls below the 60-day EMA