Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Bloomberg 1-3 Month T-Bill ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg 1-3 Month T-Bill ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -0.0%, drawdown -1.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD 0.0%, Sharpe 0.00, 0% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 n=126, threshold=0.04 |
0.0% | 0.0% | 0.00 | 0.00 | 1.0x | 0 | 0% |
| ADX / DI 방향성 period=59, threshold=35 |
-0.1% | -2.3% | -0.21 | -0.04 | 1.0x | 4 | 14% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
-0.1% | -1.6% | -0.38 | -0.05 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=3.3 |
-0.1% | -1.6% | -0.38 | -0.05 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=124, slow=322 |
-0.6% | -11.1% | -0.72 | -0.05 | 0.9x | 20 | 39% |
| Donchian 채널 돌파 entryN=152, exitN=188 |
-0.5% | -9.3% | -0.78 | -0.05 | 0.9x | 16 | 29% |
| SMA 크로스오버 fast=65, slow=214 |
-0.9% | -16.4% | -1.03 | -0.06 | 0.8x | 32 | 40% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.8% | -52.0% | -2.67 | -0.07 | 0.5x | 125 | 34% |
| Supertrend period=25, mult=4.9 |
-4.1% | -54.8% | -2.90 | -0.07 | 0.5x | 133 | 20% |
| MACD fast=19, slow=59, signal=24 |
-12.2% | -91.8% | -5.36 | -0.13 | 0.1x | 467 | 49% |
| Buy and hold | -0.0% | -1.4% | -0.02 | -0.02 | 1.0x | 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 126-day return is greater than 4%
- Sell — Sell when the 126-day return drops to 4% or below