Trend-Following Backtester · Guide · backtest 한국어
etf · DE
SSgA SPDR ETFs Europe II PLC - State Street SPDR S&P U.S. Energy Select Sector UCITS ETF Accum.Ptg.Shs USD backtest
10 trend-following strategies were compared on the full daily history of SSgA SPDR ETFs Europe II PLC - State Street SPDR S&P U.S. Energy Select Sector UCITS ETF Accum.Ptg.Shs USD. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -17.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.1%, drawdown -65.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.2%, MDD -17.0%, Sharpe 0.62, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.7%, MDD -33.9%, exposure 56%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 48.6%p (CAGR 6.2%, MDD -17.0%, exposure 12%).
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=42, k=2.7 |
6.2% | -17.0% | 0.62 | 0.36 | 1.9x | 14 | 12% |
| SMA 크로스오버 fast=19, slow=132 |
9.7% | -33.9% | 0.57 | 0.29 | 2.8x | 27 | 56% |
| EMA 크로스오버 fast=43, slow=81 |
8.5% | -34.3% | 0.51 | 0.25 | 2.5x | 25 | 56% |
| Donchian 채널 돌파 entryN=40, exitN=55 |
8.1% | -37.6% | 0.48 | 0.22 | 2.4x | 27 | 60% |
| MACD fast=42, slow=71, signal=16 |
6.7% | -36.7% | 0.43 | 0.18 | 2.1x | 73 | 50% |
| ROC 모멘텀 n=105, threshold=-0.03 |
6.1% | -46.5% | 0.39 | 0.13 | 1.9x | 75 | 64% |
| Supertrend period=17, mult=4.2 |
6.0% | -33.8% | 0.39 | 0.18 | 1.9x | 69 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=22, mult=2.3 |
3.1% | -36.5% | 0.27 | 0.09 | 1.4x | 81 | 34% |
| ADX / DI 방향성 period=29, threshold=16 |
2.9% | -29.2% | 0.27 | 0.10 | 1.4x | 60 | 25% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.4% | -44.1% | 0.27 | 0.08 | 1.5x | 97 | 52% |
| Buy and hold | 7.1% | -65.6% | 0.38 | 0.11 | 2.2x | 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 42-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 42-day middle average