Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco KBW Premium Yield Equity REIT ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco KBW Premium Yield Equity REIT ETF. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.6%, drawdown -64.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -2.9%, Sharpe 0.56, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 1.0%, MDD -26.0%, exposure 44%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 0.2%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=39 |
0.9% | -2.9% | 0.56 | 0.32 | 1.2x | 2 | 2% |
| ROC 모멘텀 n=1, threshold=0.12 |
0.2% | -0.5% | 0.21 | 0.39 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=57, slow=340 |
1.0% | -26.0% | 0.14 | 0.04 | 1.2x | 11 | 44% |
| SMA 크로스오버 fast=47, slow=79 |
-0.0% | -49.8% | 0.06 | -0.00 | 1.0x | 56 | 52% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.1% | -5.7% | 0.05 | 0.01 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=111, exitN=23 |
-0.1% | -32.6% | 0.03 | -0.00 | 1.0x | 30 | 25% |
| Supertrend period=46, mult=4 |
-0.8% | -45.5% | 0.02 | -0.02 | 0.9x | 82 | 52% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=11, mult=3.7 |
-0.3% | -32.7% | -0.02 | -0.01 | 0.9x | 20 | 8% |
| MACD fast=15, slow=55, signal=17 |
-3.1% | -60.3% | -0.12 | -0.05 | 0.6x | 174 | 50% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-5.7% | -67.3% | -0.29 | -0.08 | 0.4x | 266 | 52% |
| Buy and hold | -2.6% | -64.3% | 0.01 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)