Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Variable Rate Investment Grade ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco Variable Rate Investment Grade ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR -0.0%, drawdown -14.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.55, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 0.3%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=5, threshold=0.02 |
0.3% | -0.5% | 0.55 | 0.61 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=20, mult=4 |
-0.1% | -2.6% | -0.12 | -0.03 | 1.0x | 4 | 10% |
| 볼린저 밴드 돌파 n=74, k=3.2 |
-0.1% | -1.1% | -0.17 | -0.05 | 1.0x | 2 | 4% |
| EMA 크로스오버 fast=48, slow=159 |
-0.4% | -4.3% | -0.30 | -0.10 | 1.0x | 10 | 55% |
| Donchian 채널 돌파 entryN=84, exitN=105 |
-0.5% | -4.9% | -0.35 | -0.10 | 1.0x | 10 | 62% |
| SMA 크로스오버 fast=58, slow=206 |
-1.1% | -10.2% | -0.40 | -0.11 | 0.9x | 12 | 51% |
| ADX / DI 방향성 period=34, threshold=27 |
-0.2% | -1.9% | -0.40 | -0.08 | 1.0x | 4 | 3% |
| Supertrend period=22, mult=5 |
-1.3% | -14.7% | -0.85 | -0.09 | 0.9x | 28 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.1% | -27.0% | -1.72 | -0.12 | 0.7x | 70 | 54% |
| MACD fast=17, slow=50, signal=18 |
-7.7% | -54.8% | -3.50 | -0.14 | 0.5x | 152 | 45% |
| Buy and hold | -0.0% | -14.3% | 0.01 | -0.00 | 1.0x | 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 5-day return is greater than 2%
- Sell — Sell when the 5-day return drops to 2% or below