Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR EURO STOXX 50 ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR EURO STOXX 50 ETF. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.2%, MDD -33.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.4%, drawdown -66.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.2%, MDD -33.4%, Sharpe 0.41, 64% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.3%, MDD -45.0%, exposure 81%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 5.2%, MDD -33.4%, 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=43, slow=129 |
5.2% | -33.4% | 0.41 | 0.15 | 3.3x | 35 | 64% |
| Donchian 채널 돌파 entryN=47, exitN=139 |
5.3% | -45.0% | 0.37 | 0.12 | 3.4x | 25 | 81% |
| SMA 크로스오버 fast=38, slow=211 |
4.2% | -40.3% | 0.34 | 0.10 | 2.6x | 29 | 63% |
| 볼린저 밴드 돌파 n=45, k=2.8 |
1.4% | -10.1% | 0.30 | 0.14 | 1.4x | 18 | 8% |
| ROC 모멘텀 n=108, threshold=-0.07 |
3.1% | -66.5% | 0.27 | 0.05 | 2.1x | 157 | 77% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=23, mult=3.2 |
0.5% | -18.4% | 0.14 | 0.03 | 1.1x | 32 | 6% |
| MACD fast=19, slow=53, signal=19 |
0.2% | -54.3% | 0.09 | 0.00 | 1.0x | 236 | 50% |
| Supertrend period=19, mult=4.6 |
0.1% | -56.0% | 0.08 | 0.00 | 1.0x | 113 | 56% |
| ADX / DI 방향성 period=28, threshold=33 |
0.1% | -4.4% | 0.04 | 0.01 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.9% | -56.7% | 0.02 | -0.02 | 0.8x | 216 | 58% |
| Buy and hold | 4.4% | -66.2% | 0.30 | 0.07 | 2.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 129-day EMA
- Sell — Sell when the 43-day EMA falls below the 129-day EMA