Trend-Following Backtester · Guide · backtest 한국어
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Invesco KBW High Dividend Yield Financial ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco KBW High Dividend Yield Financial ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -4.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -4.0%, drawdown -65.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.8%, MDD -6.3%, Sharpe 0.51, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 58.9%p (CAGR 0.1%, MDD -4.7%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3.5 |
1.8% | -6.3% | 0.51 | 0.29 | 1.3x | 2 | 4% |
| ADX / DI 방향성 period=31, threshold=23 |
0.1% | -4.7% | 0.09 | 0.03 | 1.0x | 6 | 1% |
| ROC 모멘텀 n=73, threshold=0.14 |
-0.1% | -16.8% | -0.00 | -0.01 | 1.0x | 52 | 6% |
| Donchian 채널 돌파 entryN=117, exitN=20 |
-1.3% | -24.8% | -0.21 | -0.05 | 0.8x | 26 | 14% |
| MACD fast=9, slow=22, signal=16 |
-3.6% | -60.2% | -0.22 | -0.06 | 0.6x | 278 | 49% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=3.5 |
-1.8% | -28.4% | -0.24 | -0.06 | 0.8x | 32 | 15% |
| Supertrend period=11, mult=2.7 |
-3.7% | -47.0% | -0.27 | -0.08 | 0.6x | 149 | 52% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-4.1% | -50.5% | -0.27 | -0.08 | 0.5x | 213 | 53% |
| SMA 크로스오버 fast=56, slow=102 |
-4.4% | -57.3% | -0.34 | -0.08 | 0.5x | 40 | 45% |
| EMA 크로스오버 fast=28, slow=172 |
-4.6% | -55.9% | -0.50 | -0.08 | 0.5x | 44 | 41% |
| Buy and hold | -4.0% | -65.2% | -0.09 | -0.06 | 0.5x | 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 57-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 57-day middle average