Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Global Dow ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Global Dow ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.9%, MDD -26.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.1%, drawdown -58.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.7%, MDD -28.4%, Sharpe 0.47, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 3.9%, MDD -26.1%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=106 |
4.7% | -28.4% | 0.47 | 0.17 | 3.3x | 41 | 66% |
| SMA 크로스오버 fast=37, slow=180 |
4.5% | -38.9% | 0.44 | 0.11 | 3.1x | 31 | 65% |
| Donchian 채널 돌파 entryN=77, exitN=85 |
3.9% | -26.1% | 0.41 | 0.15 | 2.7x | 31 | 64% |
| ROC 모멘텀 n=112, threshold=-0.04 |
1.8% | -36.3% | 0.21 | 0.05 | 1.6x | 151 | 75% |
| 볼린저 밴드 돌파 n=36, k=3.4 |
0.2% | -2.5% | 0.19 | 0.06 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=16, mult=3.8 |
0.2% | -35.7% | 0.06 | 0.00 | 1.0x | 85 | 39% |
| ADX / DI 방향성 period=15, threshold=39 |
-0.0% | -7.4% | -0.01 | -0.00 | 1.0x | 8 | 1% |
| Supertrend period=11, mult=3.8 |
-0.8% | -43.4% | -0.02 | -0.02 | 0.8x | 201 | 58% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.3% | -59.7% | -0.14 | -0.04 | 0.6x | 239 | 58% |
| MACD fast=15, slow=41, signal=14 |
-5.5% | -82.0% | -0.43 | -0.07 | 0.2x | 386 | 51% |
| Buy and hold | 3.1% | -58.4% | 0.26 | 0.05 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 106-day EMA
- Sell — Sell when the 37-day EMA falls below the 106-day EMA