Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P SmallCap Momentum ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P SmallCap Momentum ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -58.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -40.5%, Sharpe 0.41, 72% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=46, slow=74 |
5.5% | -40.5% | 0.41 | 0.14 | 3.2x | 41 | 72% |
| Donchian 채널 돌파 entryN=22, exitN=77 |
5.5% | -53.2% | 0.38 | 0.10 | 3.1x | 41 | 85% |
| SMA 크로스오버 fast=52, slow=127 |
5.0% | -42.4% | 0.37 | 0.12 | 2.8x | 37 | 70% |
| 볼린저 밴드 돌파 n=12, k=2.7 |
0.7% | -7.7% | 0.23 | 0.09 | 1.2x | 28 | 4% |
| ROC 모멘텀 n=87, threshold=-0.02 |
2.2% | -50.0% | 0.22 | 0.04 | 1.6x | 174 | 73% |
| ADX / DI 방향성 period=26, threshold=27 |
0.4% | -12.8% | 0.15 | 0.03 | 1.1x | 6 | 2% |
| Supertrend period=28, mult=5 |
0.4% | -41.8% | 0.11 | 0.01 | 1.1x | 97 | 64% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=27, mult=1.6 |
-1.7% | -45.9% | -0.06 | -0.04 | 0.7x | 174 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.1% | -70.1% | -0.19 | -0.06 | 0.4x | 206 | 59% |
| MACD fast=12, slow=38, signal=17 |
-4.5% | -71.5% | -0.23 | -0.06 | 0.4x | 304 | 51% |
| Buy and hold | 8.2% | -58.1% | 0.45 | 0.14 | 5.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 74-day EMA
- Sell — Sell when the 46-day EMA falls below the 74-day EMA