Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Municipal Trust backtest
10 trend-following strategies were compared on the full daily history of Invesco Municipal Trust. 5 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 -0.0%, MDD -1.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.6%, drawdown -58.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -2.1%, Sharpe 0.24, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 0.5%, MDD -18.3%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR -0.0%, MDD -1.7%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.2% | -2.1% | 0.24 | 0.08 | 1.1x | 4 | 1% |
| ROC 모멘텀 n=12, threshold=0.07 |
0.5% | -18.3% | 0.15 | 0.03 | 1.2x | 50 | 1% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=20, mult=4 |
0.1% | -3.3% | 0.08 | 0.02 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=16, exitN=75 |
-0.5% | -53.7% | 0.01 | -0.01 | 0.8x | 98 | 80% |
| ADX / DI 방향성 period=32, threshold=38 |
-0.0% | -1.7% | -0.03 | -0.01 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=44, slow=114 |
-1.6% | -59.6% | -0.14 | -0.03 | 0.6x | 86 | 54% |
| MACD fast=54, slow=68, signal=28 |
-1.9% | -55.6% | -0.18 | -0.03 | 0.5x | 190 | 52% |
| EMA 크로스오버 fast=39, slow=65 |
-1.9% | -54.4% | -0.19 | -0.04 | 0.5x | 96 | 55% |
| Supertrend period=12, mult=4.6 |
-2.6% | -65.1% | -0.28 | -0.04 | 0.4x | 132 | 55% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-3.7% | -74.0% | -0.38 | -0.05 | 0.3x | 380 | 55% |
| Buy and hold | -1.6% | -58.4% | -0.04 | -0.03 | 0.6x | 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 (3.5× volatility)
- Sell — Sell when the close falls back to the 18-day middle average