Trend-Following Backtester · Guide · backtest 한국어
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Invesco KBW Bank ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco KBW Bank ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.6%, MDD -33.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -52.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.6%, MDD -33.6%, Sharpe 0.59, 63% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.1%, MDD -40.8%, exposure 67%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 18.5%p (CAGR 8.6%, MDD -33.6%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=207, threshold=-0.01 |
8.6% | -33.6% | 0.59 | 0.26 | 3.4x | 49 | 63% |
| Donchian 채널 돌파 entryN=131, exitN=79 |
8.0% | -22.0% | 0.59 | 0.37 | 3.1x | 15 | 57% |
| EMA 크로스오버 fast=73, slow=172 |
9.1% | -40.8% | 0.58 | 0.22 | 3.6x | 11 | 67% |
| Supertrend period=27, mult=3.2 |
7.1% | -41.0% | 0.49 | 0.17 | 2.8x | 100 | 62% |
| MACD fast=18, slow=44, signal=17 |
6.5% | -33.9% | 0.46 | 0.19 | 2.6x | 150 | 51% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
1.5% | -9.3% | 0.37 | 0.16 | 1.2x | 16 | 4% |
| SMA 크로스오버 fast=55, slow=177 |
5.5% | -52.9% | 0.37 | 0.10 | 2.2x | 19 | 66% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.4% | -39.6% | 0.33 | 0.11 | 1.9x | 138 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=1.2 |
1.7% | -45.1% | 0.19 | 0.04 | 1.3x | 126 | 55% |
| ADX / DI 방향성 period=38, threshold=20 |
0.8% | -19.2% | 0.17 | 0.04 | 1.1x | 8 | 8% |
| Buy and hold | 11.1% | -52.1% | 0.53 | 0.21 | 4.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 207-day return is greater than -1%
- Sell — Sell when the 207-day return drops to -1% or below