Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco S&P SmallCap Information Technology ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco S&P SmallCap Information Technology ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.7%, drawdown -40.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -37.6%, Sharpe 0.70, 86% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.3%, MDD -46.8%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=21, exitN=82 |
13.2% | -37.6% | 0.70 | 0.35 | 7.6x | 29 | 86% |
| ROC 모멘텀 Hold-like · Exposure 97% n=36, threshold=-0.15 |
13.3% | -46.8% | 0.65 | 0.28 | 7.7x | 33 | 97% |
| SMA 크로스오버 fast=16, slow=89 |
8.1% | -42.4% | 0.51 | 0.19 | 3.5x | 57 | 68% |
| EMA 크로스오버 fast=22, slow=71 |
7.1% | -46.6% | 0.46 | 0.15 | 3.1x | 59 | 71% |
| Supertrend period=23, mult=5 |
5.6% | -38.0% | 0.39 | 0.15 | 2.4x | 68 | 63% |
| ADX / DI 방향성 period=33, threshold=26 |
1.5% | -10.7% | 0.36 | 0.14 | 1.3x | 6 | 3% |
| Parabolic SAR step=0.01, maxStep=0.14 |
2.5% | -47.4% | 0.23 | 0.05 | 1.5x | 234 | 57% |
| MACD fast=19, slow=49, signal=19 |
2.0% | -41.5% | 0.20 | 0.05 | 1.4x | 172 | 49% |
| 볼린저 밴드 돌파 n=47, k=3 |
0.9% | -12.8% | 0.19 | 0.07 | 1.2x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=1.6 |
-1.1% | -58.7% | 0.01 | -0.02 | 0.8x | 146 | 55% |
| Buy and hold | 14.7% | -40.4% | 0.67 | 0.36 | 9.3x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 82 days