Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco BulletShares 2028 Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco BulletShares 2028 Corporate Bond ETF. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.1%, drawdown -20.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.0%, MDD -2.6%, Sharpe 0.59, 14% exposure.
CAGR reference leader: Supertrend — CAGR 1.1%, MDD -10.5%, exposure 57%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 0.1%, MDD -0.7%, exposure 1%).
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=27, atrPeriod=10, mult=3.5 |
1.0% | -2.6% | 0.59 | 0.38 | 1.1x | 8 | 14% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
0.8% | -4.2% | 0.56 | 0.19 | 1.1x | 4 | 11% |
| ADX / DI 방향성 period=36, threshold=24 |
0.5% | -4.9% | 0.32 | 0.09 | 1.0x | 6 | 9% |
| Supertrend period=36, mult=4.4 |
1.1% | -10.5% | 0.30 | 0.10 | 1.1x | 29 | 57% |
| ROC 모멘텀 n=73, threshold=0.11 |
0.1% | -0.7% | 0.26 | 0.13 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=29, exitN=27 |
0.5% | -9.3% | 0.17 | 0.05 | 1.0x | 27 | 45% |
| EMA 크로스오버 fast=25, slow=81 |
0.6% | -10.0% | 0.17 | 0.06 | 1.0x | 16 | 55% |
| SMA 크로스오버 fast=12, slow=46 |
0.1% | -10.4% | 0.05 | 0.01 | 1.0x | 35 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.9% | -20.1% | -0.23 | -0.05 | 0.9x | 61 | 53% |
| MACD fast=30, slow=55, signal=16 |
-1.8% | -21.8% | -0.46 | -0.08 | 0.9x | 61 | 51% |
| Buy and hold | 0.1% | -20.4% | 0.05 | 0.00 | 1.0x | 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 27-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average