Trend-Following Backtester · Guide · backtest 한국어
etf · IL
MTF SAL (4D) S&P 500 backtest
10 trend-following strategies were compared on the full daily history of MTF SAL (4D) S&P 500. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.7%, MDD -10.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.5%, drawdown -28.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -10.0%, Sharpe 1.26, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 11.7%, MDD -10.0%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=144 |
11.7% | -10.0% | 1.26 | 1.16 | 2.2x | 7 | 67% |
| Donchian 채널 돌파 entryN=62, exitN=46 |
9.1% | -11.9% | 1.04 | 0.77 | 1.8x | 9 | 64% |
| EMA 크로스오버 fast=44, slow=132 |
10.0% | -15.5% | 1.03 | 0.65 | 2.0x | 7 | 71% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=18, mult=3.4 |
7.7% | -9.6% | 0.96 | 0.81 | 1.7x | 13 | 55% |
| 볼린저 밴드 돌파 n=57, k=2.5 |
5.7% | -6.6% | 0.95 | 0.88 | 1.5x | 8 | 32% |
| ROC 모멘텀 n=140, threshold=0.09 |
5.9% | -15.8% | 0.82 | 0.37 | 1.5x | 26 | 45% |
| Supertrend period=27, mult=4.3 |
7.8% | -29.6% | 0.81 | 0.26 | 1.7x | 25 | 75% |
| MACD fast=35, slow=38, signal=28 |
5.1% | -21.0% | 0.65 | 0.24 | 1.4x | 36 | 50% |
| ADX / DI 방향성 period=39, threshold=15 |
3.0% | -11.2% | 0.55 | 0.27 | 1.2x | 15 | 26% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-0.7% | -29.5% | -0.01 | -0.02 | 1.0x | 96 | 63% |
| Buy and hold | 13.5% | -28.9% | 1.01 | 0.47 | 2.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 35-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 35-day average falls below the 144-day average