Trend-Following Backtester · Guide · backtest 한국어
equity · KR
RISE 미국S&P500 backtest
10 trend-following strategies were compared on the full daily history of RISE 미국S&P500. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -9.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.3%, drawdown -19.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -9.8%, Sharpe 1.40, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 9.8%p (CAGR 14.1%, MDD -9.8%, exposure 66%).
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=11, slow=31 |
14.1% | -9.8% | 1.40 | 1.44 | 2.0x | 32 | 66% |
| Donchian 채널 돌파 entryN=18, exitN=18 |
11.5% | -13.4% | 1.18 | 0.86 | 1.8x | 28 | 64% |
| Parabolic SAR step=0.02, maxStep=0.02 |
12.8% | -17.2% | 1.17 | 0.75 | 1.9x | 24 | 73% |
| MACD fast=19, slow=42, signal=16 |
10.2% | -16.1% | 1.16 | 0.63 | 1.7x | 40 | 47% |
| 볼린저 밴드 돌파 n=34, k=2.3 |
8.1% | -8.8% | 1.15 | 0.92 | 1.5x | 18 | 36% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=2.3 |
10.3% | -15.3% | 1.10 | 0.67 | 1.7x | 22 | 60% |
| ADX / DI 방향성 period=18, threshold=18 |
9.0% | -13.5% | 1.04 | 0.67 | 1.6x | 42 | 52% |
| ROC 모멘텀 n=24, threshold=-0.03 |
11.5% | -21.0% | 0.99 | 0.55 | 1.8x | 51 | 82% |
| EMA 크로스오버 fast=22, slow=36 |
10.2% | -20.6% | 0.95 | 0.49 | 1.7x | 22 | 71% |
| Supertrend period=16, mult=3.4 |
7.6% | -18.3% | 0.75 | 0.41 | 1.5x | 44 | 68% |
| Buy and hold | 16.3% | -19.6% | 1.08 | 0.83 | 2.3x | 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 11-day average price crosses above the 31-day average
- Sell — Sell (to cash) when the 11-day average falls below the 31-day average