Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR MSCI ACWI ex-US ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR MSCI ACWI ex-US ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.1%, MDD -27.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.7%, drawdown -62.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.1%, MDD -27.8%, Sharpe 0.31, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 3.1%, MDD -27.8%, exposure 60%).
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=26, slow=108 |
3.1% | -27.8% | 0.31 | 0.11 | 1.8x | 45 | 60% |
| EMA 크로스오버 fast=30, slow=46 |
2.3% | -27.3% | 0.25 | 0.09 | 1.6x | 65 | 61% |
| Donchian 채널 돌파 entryN=10, exitN=56 |
2.2% | -39.7% | 0.22 | 0.06 | 1.5x | 77 | 85% |
| Supertrend period=29, mult=4.7 |
1.5% | -42.9% | 0.18 | 0.04 | 1.3x | 87 | 61% |
| MACD fast=47, slow=68, signal=48 |
0.1% | -36.3% | 0.07 | 0.00 | 1.0x | 93 | 48% |
| 볼린저 밴드 돌파 n=45, k=3 |
0.1% | -8.8% | 0.04 | 0.01 | 1.0x | 6 | 2% |
| ROC 모멘텀 n=131, threshold=-0.02 |
-0.4% | -56.2% | 0.03 | -0.01 | 0.9x | 141 | 66% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=21, mult=1.8 |
-1.0% | -47.6% | -0.05 | -0.02 | 0.8x | 137 | 47% |
| ADX / DI 방향성 period=50, threshold=14 |
-1.0% | -25.9% | -0.10 | -0.04 | 0.8x | 44 | 11% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.5% | -59.9% | -0.21 | -0.06 | 0.5x | 185 | 58% |
| Buy and hold | 2.7% | -62.4% | 0.23 | 0.04 | 1.7x | 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 26-day average price crosses above the 108-day average
- Sell — Sell (to cash) when the 26-day average falls below the 108-day average