Trend-Following Backtester · Guide · backtest 한국어
etf · DE
SSGA SPDR ETFs Europe I PLC - State Street SPDR S&P Global Dividend Aristocrats UCITS ETF Ptg USD backtest
10 trend-following strategies were compared on the full daily history of SSGA SPDR ETFs Europe I PLC - State Street SPDR S&P Global Dividend Aristocrats UCITS ETF Ptg USD. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.4%, MDD -20.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -42.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.4%, MDD -33.7%, Sharpe 0.38, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 8.4%p (CAGR 2.4%, MDD -20.4%, exposure 51%).
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 Hold-like · Exposure 99% n=7, threshold=-0.07 |
4.4% | -33.7% | 0.38 | 0.13 | 1.8x | 17 | 99% |
| SMA 크로스오버 fast=23, slow=179 |
3.3% | -33.7% | 0.37 | 0.10 | 1.5x | 17 | 64% |
| Donchian 채널 돌파 entryN=91, exitN=50 |
2.4% | -20.4% | 0.32 | 0.12 | 1.4x | 25 | 51% |
| EMA 크로스오버 fast=31, slow=140 |
1.8% | -29.1% | 0.23 | 0.06 | 1.3x | 27 | 64% |
| 볼린저 밴드 돌파 n=49, k=3.2 |
0.2% | -5.6% | 0.10 | 0.03 | 1.0x | 2 | 2% |
| Supertrend period=27, mult=5 |
-0.4% | -30.0% | 0.01 | -0.01 | 1.0x | 59 | 63% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=28, mult=4 |
-0.3% | -11.8% | -0.08 | -0.03 | 1.0x | 18 | 9% |
| ADX / DI 방향성 period=32, threshold=21 |
-0.2% | -7.5% | -0.09 | -0.03 | 1.0x | 10 | 4% |
| MACD fast=17, slow=55, signal=18 |
-5.6% | -58.5% | -0.53 | -0.10 | 0.5x | 156 | 52% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-6.4% | -67.8% | -0.59 | -0.09 | 0.4x | 229 | 57% |
| Buy and hold | 3.1% | -42.1% | 0.27 | 0.07 | 1.5x | 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 7-day return is greater than -7%
- Sell — Sell when the 7-day return drops to -7% or below