Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco BulletShares 2031 Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco BulletShares 2031 Corporate Bond ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.3%, MDD -2.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.7%, drawdown -26.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -4.2%, Sharpe 0.33, 6% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 0.3%, MDD -2.4%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=10, k=2.4 |
0.6% | -4.2% | 0.33 | 0.15 | 1.0x | 10 | 6% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=11, mult=3.6 |
0.3% | -2.4% | 0.26 | 0.14 | 1.0x | 2 | 3% |
| ADX / DI 방향성 period=68, threshold=23 |
0.6% | -5.5% | 0.21 | 0.11 | 1.0x | 2 | 41% |
| ROC 모멘텀 n=140, threshold=-0.1 |
0.4% | -10.7% | 0.10 | 0.04 | 1.0x | 3 | 77% |
| SMA 크로스오버 fast=67, slow=185 |
-0.3% | -6.3% | -0.07 | -0.05 | 1.0x | 6 | 43% |
| Donchian 채널 돌파 entryN=85, exitN=11 |
-0.2% | -3.6% | -0.12 | -0.06 | 1.0x | 4 | 3% |
| MACD fast=36, slow=68, signal=26 |
-1.5% | -10.1% | -0.27 | -0.15 | 0.9x | 24 | 42% |
| Supertrend period=27, mult=3.7 |
-1.5% | -10.4% | -0.33 | -0.15 | 0.9x | 24 | 38% |
| EMA 크로스오버 fast=58, slow=207 |
-1.2% | -8.3% | -0.36 | -0.14 | 0.9x | 6 | 40% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-3.7% | -17.2% | -0.80 | -0.21 | 0.8x | 36 | 38% |
| Buy and hold | -4.7% | -26.3% | -0.62 | -0.18 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 10-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 10-day middle average