ETF·주식 백테스트
미국 주식·ETF 전략을 실제 가격 데이터로 백테스트한 연구 노트입니다. 수익과 함께 최대 낙폭·비용·검증의 한계를 같이 적습니다.
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ETF·주식 백테스트 · 영문
Can Growth-Value Style Selection Beat the S&P 500? I Ran the Numbers
While the Growth-Value Style Selection strategy achieved an impressive 33.9% annual return that outpaced the S&P 500, it subjected investors to a severe -34.0% peak-to-trough drawdown. This high-octane performance relies…
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ETF·주식 백테스트 · 영문
Most Investors Get The Fifty-Two Week High Leaderboard Wrong
Investors often assume that momentum strategies tracking 52-week highs in leveraged instruments guarantee benchmark outperformance, but compounding decay and defensive exit lag frequently erode those gains. In this historical simulation,…
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ETF·주식 백테스트 · 영문The Velocity Strength Filter: -27.5% MDD Before 17.6% CAGR | High Risk
Welcome to Avalon QuantBrief, where we dissect high-performance systematic trading strategies to uncover their true risk-return profiles. Today, we analyze the famous Velocity Strength Filter, a momentum-driven strategy boasting a…
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ETF·주식 백테스트 · 영문Kaufman Efficiency Index Strategy: Where It Fails | 25.2% CAGR, -48.3% MDD
Welcome to Avalon QuantBrief, where we dissect systematic trading strategies to uncover the reality behind high-yielding models. Today, we analyze an adapted version of the Kaufman Efficiency Index Strategy, a…
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ETF·주식 백테스트 · 영문Dynamic Factor Strength Strategy | 18.0% CAGR, -24.1% MDD | High Risk
Welcome to Avalon QuantBrief, where we dissect sophisticated quantitative models to uncover actionable market insights. Today, we explore the Dynamic Factor Strength Strategy, an upgraded adaptation of the classic Dynamic…
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ETF·주식 백테스트 · 영문Leveraged ETF Rotation: 18% CAGR — Does It Beat SPY?
Welcome back to Avalon QuantBrief, where we dissect high-performing quantitative strategies for modern markets. Today, we are backtesting and optimizing one of the best-known momentum frameworks in finance: Leveraged ETF…