Trend-Following Backtester · Guide · backtest 한국어
etf · SG
State Street SPDR Straits Times Index ETF Units backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Straits Times Index ETF Units. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.2%, MDD -17.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.6%, drawdown -57.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -17.8%, Sharpe 0.60, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.3%, MDD -34.8%, exposure 86%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 5.2%, MDD -17.8%, exposure 62%).
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=55, slow=185 |
5.2% | -17.8% | 0.60 | 0.29 | 2.6x | 21 | 62% |
| ROC 모멘텀 n=110, threshold=-0.08 |
5.3% | -34.8% | 0.50 | 0.15 | 2.6x | 47 | 86% |
| EMA 크로스오버 fast=92, slow=173 |
3.5% | -26.0% | 0.42 | 0.13 | 1.9x | 19 | 62% |
| Donchian 채널 돌파 entryN=93, exitN=51 |
2.8% | -23.5% | 0.39 | 0.12 | 1.7x | 35 | 47% |
| Supertrend period=9, mult=4 |
3.0% | -33.2% | 0.35 | 0.09 | 1.7x | 95 | 57% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
1.2% | -35.6% | 0.20 | 0.03 | 1.3x | 71 | 35% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=21, mult=2.7 |
1.2% | -38.2% | 0.19 | 0.03 | 1.2x | 93 | 36% |
| ADX / DI 방향성 period=23, threshold=17 |
0.7% | -47.9% | 0.13 | 0.01 | 1.1x | 139 | 32% |
| Parabolic SAR step=0.015, maxStep=0.06 |
0.6% | -44.4% | 0.11 | 0.01 | 1.1x | 227 | 55% |
| MACD fast=15, slow=29, signal=18 |
-1.2% | -53.5% | -0.07 | -0.02 | 0.8x | 235 | 48% |
| Buy and hold | 2.6% | -57.9% | 0.24 | 0.05 | 1.6x | 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 55-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 55-day average falls below the 185-day average