Trend-Following Backtester · Guide · backtest 한국어
equity · US
INVESCO MORTGAGE CAPITAL INC backtest
10 trend-following strategies were compared on the full daily history of INVESCO MORTGAGE CAPITAL INC. 10 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 -0.5%, MDD -37.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.4%, drawdown -97.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -44.8%, Sharpe 0.10, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.9%p higher than buy and hold, while drawdown improves by 52.5%p (CAGR -0.5%, MDD -37.5%, 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=18, k=3 |
0.4% | -44.8% | 0.10 | 0.01 | 1.1x | 34 | 7% |
| ROC 모멘텀 n=10, threshold=0.14 |
0.0% | -57.1% | 0.09 | 0.00 | 1.0x | 40 | 2% |
| ADX / DI 방향성 period=26, threshold=30 |
-0.5% | -37.5% | 0.04 | -0.01 | 0.9x | 10 | 1% |
| EMA 크로스오버 fast=8, slow=203 |
-1.5% | -41.6% | -0.09 | -0.04 | 0.8x | 32 | 32% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=2.4 |
-3.9% | -61.6% | -0.13 | -0.06 | 0.5x | 62 | 10% |
| Donchian 채널 돌파 entryN=11, exitN=60 |
-7.5% | -86.7% | -0.14 | -0.09 | 0.3x | 70 | 77% |
| MACD fast=17, slow=54, signal=22 |
-7.8% | -81.6% | -0.16 | -0.10 | 0.3x | 168 | 52% |
| SMA 크로스오버 fast=14, slow=210 |
-3.8% | -57.7% | -0.17 | -0.07 | 0.5x | 30 | 37% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-8.7% | -84.5% | -0.21 | -0.10 | 0.2x | 290 | 49% |
| Supertrend period=8, mult=4.5 |
-8.4% | -83.1% | -0.25 | -0.10 | 0.2x | 70 | 42% |
| Buy and hold | -17.4% | -97.4% | -0.19 | -0.18 | 0.0x | 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 18-day average (3× volatility)
- Sell — Sell when the close falls back to the 18-day middle average