Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Bank ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Bank ETF. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -17.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.5%, drawdown -84.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -47.8%, Sharpe 0.33, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 1.9%, MDD -17.5%, exposure 7%).
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=56, slow=160 |
4.5% | -47.8% | 0.33 | 0.09 | 2.5x | 37 | 56% |
| 볼린저 밴드 돌파 n=58, k=3.4 |
1.9% | -17.5% | 0.31 | 0.11 | 1.5x | 10 | 7% |
| ROC 모멘텀 n=126, threshold=-0.05 |
3.9% | -50.3% | 0.30 | 0.08 | 2.2x | 109 | 68% |
| Supertrend period=16, mult=3.8 |
3.0% | -40.4% | 0.25 | 0.08 | 1.9x | 95 | 54% |
| EMA 크로스오버 fast=39, slow=174 |
2.7% | -36.7% | 0.25 | 0.07 | 1.7x | 33 | 59% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=4 |
0.5% | -6.0% | 0.23 | 0.08 | 1.1x | 4 | 1% |
| Donchian 채널 돌파 entryN=109, exitN=68 |
2.4% | -29.6% | 0.23 | 0.08 | 1.6x | 29 | 47% |
| MACD fast=22, slow=51, signal=17 |
-2.1% | -72.1% | 0.02 | -0.03 | 0.6x | 198 | 50% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.3% | -75.7% | -0.04 | -0.04 | 0.5x | 187 | 57% |
| ADX / DI 방향성 period=15, threshold=38 |
-0.3% | -15.4% | -0.06 | -0.02 | 0.9x | 16 | 2% |
| Buy and hold | 1.5% | -84.6% | 0.21 | 0.02 | 1.4x | 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 56-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 56-day average falls below the 160-day average