Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Bloomberg 3-12 Month T-Bill ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg 3-12 Month T-Bill ETF. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR -0.2%, drawdown -1.7%).
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=31, threshold=0.04 |
0.0% | 0.0% | 0.00 | 0.00 | 1.0x | 0 | 0% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=22, mult=3.6 |
-0.2% | -1.4% | -0.56 | -0.17 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=23, threshold=19 |
-0.2% | -1.0% | -0.58 | -0.17 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
-0.2% | -1.0% | -0.60 | -0.17 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=61, slow=273 |
-0.5% | -3.1% | -0.72 | -0.17 | 1.0x | 6 | 21% |
| Donchian 채널 돌파 entryN=123, exitN=39 |
-1.0% | -5.5% | -1.08 | -0.17 | 0.9x | 8 | 10% |
| EMA 크로스오버 fast=130, slow=215 |
-1.2% | -7.0% | -1.27 | -0.17 | 0.9x | 12 | 24% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-6.1% | -31.0% | -3.39 | -0.20 | 0.7x | 59 | 31% |
| Supertrend period=27, mult=5 |
-9.0% | -42.5% | -4.48 | -0.21 | 0.6x | 91 | 26% |
| MACD fast=18, slow=42, signal=17 |
-10.5% | -48.1% | -4.90 | -0.22 | 0.5x | 113 | 44% |
| Buy and hold | -0.2% | -1.7% | -0.18 | -0.12 | 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 31-day return is greater than 4%
- Sell — Sell when the 31-day return drops to 4% or below