Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Municipal Opportunity Trust backtest
10 trend-following strategies were compared on the full daily history of Invesco Municipal Opportunity Trust. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -1.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.2%, drawdown -60.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -7.0%, Sharpe 0.19, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR -0.0%, MDD -1.0%, 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=30, threshold=0.23 |
0.3% | -7.0% | 0.19 | 0.04 | 1.1x | 4 | 0% |
| ADX / DI 방향성 period=32, threshold=38 |
-0.0% | -1.0% | -0.04 | -0.02 | 1.0x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=25, mult=3.4 |
-0.1% | -9.9% | -0.04 | -0.01 | 1.0x | 20 | 2% |
| Donchian 채널 돌파 entryN=26, exitN=75 |
-1.1% | -44.6% | -0.05 | -0.02 | 0.7x | 85 | 75% |
| Supertrend period=27, mult=5 |
-1.3% | -46.7% | -0.09 | -0.03 | 0.6x | 103 | 54% |
| EMA 크로스오버 fast=22, slow=89 |
-1.2% | -49.6% | -0.10 | -0.02 | 0.7x | 107 | 55% |
| SMA 크로스오버 fast=13, slow=177 |
-1.2% | -46.1% | -0.10 | -0.03 | 0.7x | 85 | 56% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
-1.0% | -31.1% | -0.21 | -0.03 | 0.7x | 66 | 15% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.7% | -75.2% | -0.35 | -0.05 | 0.3x | 267 | 57% |
| MACD fast=18, slow=45, signal=18 |
-4.6% | -81.9% | -0.47 | -0.06 | 0.2x | 358 | 51% |
| Buy and hold | -1.2% | -60.0% | -0.01 | -0.02 | 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 30-day return is greater than 23%
- Sell — Sell when the 30-day return drops to 23% or below