Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -13.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.1%, drawdown -55.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.1%, MDD -16.6%, Sharpe 0.43, 16% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 3.6%, MDD -17.7%, exposure 20%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR 2.0%, MDD -13.2%, exposure 7%).
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=150, threshold=0.14 |
3.1% | -16.6% | 0.43 | 0.19 | 1.4x | 29 | 16% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
3.6% | -17.7% | 0.43 | 0.20 | 1.5x | 20 | 20% |
| ADX / DI 방향성 period=38, threshold=21 |
2.0% | -13.2% | 0.33 | 0.15 | 1.3x | 10 | 7% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=23, mult=4 |
1.8% | -21.0% | 0.25 | 0.09 | 1.2x | 24 | 18% |
| Donchian 채널 돌파 entryN=43, exitN=17 |
1.4% | -36.3% | 0.18 | 0.04 | 1.2x | 54 | 34% |
| SMA 크로스오버 fast=22, slow=48 |
1.2% | -33.0% | 0.16 | 0.04 | 1.1x | 58 | 52% |
| MACD fast=24, slow=52, signal=24 |
0.7% | -42.0% | 0.12 | 0.02 | 1.1x | 91 | 54% |
| EMA 크로스오버 fast=49, slow=73 |
-0.1% | -52.1% | 0.07 | -0.00 | 1.0x | 25 | 47% |
| Supertrend period=24, mult=3.7 |
-0.5% | -30.2% | 0.02 | -0.02 | 0.9x | 78 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-3.8% | -49.5% | -0.25 | -0.08 | 0.6x | 157 | 51% |
| Buy and hold | -3.1% | -55.8% | -0.05 | -0.06 | 0.7x | 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 150-day return is greater than 14%
- Sell — Sell when the 150-day return drops to 14% or below