Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco Senior Income Trust backtest
10 trend-following strategies were compared on the full daily history of Invesco Senior Income Trust. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.4%, MDD -9.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.4%, drawdown -81.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.4%, MDD -9.7%, Sharpe 0.41, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.4%, MDD -24.6%, exposure 45%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 72.1%p (CAGR 1.4%, MDD -9.7%, exposure 3%).
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=149, threshold=0.24 |
1.4% | -9.7% | 0.41 | 0.14 | 1.5x | 6 | 3% |
| SMA 크로스오버 fast=21, slow=133 |
2.4% | -24.6% | 0.30 | 0.10 | 2.0x | 46 | 45% |
| Donchian 채널 돌파 entryN=87, exitN=37 |
1.9% | -17.7% | 0.30 | 0.11 | 1.7x | 40 | 32% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=3.3 |
1.5% | -18.5% | 0.29 | 0.08 | 1.5x | 48 | 22% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
1.0% | -20.4% | 0.27 | 0.05 | 1.3x | 16 | 9% |
| EMA 크로스오버 fast=47, slow=72 |
1.9% | -30.5% | 0.25 | 0.06 | 1.7x | 46 | 45% |
| ADX / DI 방향성 period=33, threshold=19 |
0.7% | -25.7% | 0.16 | 0.03 | 1.2x | 78 | 17% |
| Supertrend period=15, mult=4.6 |
0.6% | -33.9% | 0.12 | 0.02 | 1.2x | 64 | 46% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-7.0% | -87.4% | -0.65 | -0.08 | 0.1x | 218 | 54% |
| MACD fast=19, slow=56, signal=19 |
-7.6% | -89.3% | -0.70 | -0.09 | 0.1x | 312 | 52% |
| Buy and hold | -4.4% | -81.8% | -0.11 | -0.05 | 0.3x | 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 149-day return is greater than 24%
- Sell — Sell when the 149-day return drops to 24% or below