Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Bloomberg International Treasury Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg International Treasury Bond ETF. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -4.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.0%, drawdown -36.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -4.0%, Sharpe 0.26, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 0.3%, MDD -4.0%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=35 |
0.3% | -4.0% | 0.26 | 0.08 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=41, exitN=25 |
-0.2% | -21.2% | -0.02 | -0.01 | 1.0x | 57 | 36% |
| 볼린저 밴드 돌파 n=54, k=1.9 |
-0.6% | -25.9% | -0.10 | -0.02 | 0.9x | 68 | 31% |
| SMA 크로스오버 fast=32, slow=80 |
-0.8% | -21.5% | -0.10 | -0.04 | 0.9x | 54 | 45% |
| ROC 모멘텀 n=67, threshold=0.12 |
-0.1% | -4.1% | -0.12 | -0.02 | 1.0x | 10 | 1% |
| Supertrend period=13, mult=5 |
-1.2% | -34.6% | -0.19 | -0.04 | 0.8x | 61 | 47% |
| EMA 크로스오버 fast=17, slow=52 |
-1.4% | -36.0% | -0.21 | -0.04 | 0.8x | 81 | 47% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=24, mult=2.7 |
-1.5% | -28.8% | -0.30 | -0.05 | 0.8x | 72 | 27% |
| MACD fast=25, slow=57, signal=19 |
-4.3% | -59.3% | -0.66 | -0.07 | 0.4x | 175 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.4% | -61.7% | -0.69 | -0.07 | 0.4x | 165 | 50% |
| Buy and hold | -1.0% | -36.0% | -0.06 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)