Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco International BuyBack Achievers ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco International BuyBack Achievers ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.2%, MDD -15.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.3%, drawdown -50.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -15.8%, Sharpe 0.78, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 8.2%, MDD -15.8%, exposure 57%).
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=29, exitN=24 |
8.2% | -15.8% | 0.78 | 0.52 | 2.7x | 47 | 57% |
| Supertrend period=24, mult=4.9 |
7.2% | -16.8% | 0.67 | 0.43 | 2.4x | 51 | 63% |
| SMA 크로스오버 fast=21, slow=113 |
6.5% | -24.3% | 0.60 | 0.27 | 2.2x | 35 | 62% |
| EMA 크로스오버 fast=49, slow=56 |
6.5% | -21.9% | 0.58 | 0.29 | 2.2x | 31 | 65% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
5.4% | -17.8% | 0.58 | 0.30 | 1.9x | 67 | 49% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.08 |
8.1% | -40.8% | 0.56 | 0.20 | 2.6x | 11 | 99% |
| ADX / DI 방향성 period=35, threshold=12 |
4.2% | -18.8% | 0.50 | 0.22 | 1.7x | 80 | 39% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=3 |
3.8% | -18.5% | 0.47 | 0.20 | 1.6x | 51 | 40% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.0% | -37.3% | 0.15 | 0.03 | 1.1x | 115 | 59% |
| MACD fast=7, slow=32, signal=18 |
-1.0% | -40.3% | -0.03 | -0.02 | 0.9x | 211 | 51% |
| Buy and hold | 7.3% | -50.3% | 0.49 | 0.14 | 2.4x | 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 29 days
- Sell — Sell when price breaks below the lowest low of the last 24 days