Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Regional Banking ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Regional Banking ETF. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.2%, MDD -36.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.1%, drawdown -71.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -9.3%, Sharpe 0.28, 1% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.3%, MDD -46.2%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 61.9%p (CAGR 3.2%, MDD -36.7%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=3.2 |
0.7% | -9.3% | 0.28 | 0.07 | 1.2x | 6 | 1% |
| EMA 크로스오버 fast=29, slow=158 |
3.3% | -46.2% | 0.27 | 0.07 | 1.9x | 37 | 55% |
| SMA 크로스오버 fast=15, slow=211 |
3.2% | -36.7% | 0.26 | 0.09 | 1.9x | 43 | 56% |
| Donchian 채널 돌파 entryN=19, exitN=89 |
3.3% | -57.1% | 0.26 | 0.06 | 1.9x | 45 | 83% |
| Supertrend period=29, mult=3.8 |
1.8% | -46.4% | 0.19 | 0.04 | 1.4x | 99 | 56% |
| ROC 모멘텀 n=136, threshold=-0.04 |
1.1% | -43.3% | 0.16 | 0.03 | 1.3x | 157 | 64% |
| MACD fast=15, slow=32, signal=23 |
-1.3% | -55.2% | 0.05 | -0.02 | 0.8x | 244 | 50% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-1.9% | -64.1% | 0.02 | -0.03 | 0.7x | 264 | 55% |
| ADX / DI 방향성 period=30, threshold=24 |
-0.2% | -23.1% | -0.01 | -0.01 | 1.0x | 12 | 4% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=24, mult=2.3 |
-2.1% | -52.6% | -0.08 | -0.04 | 0.6x | 98 | 29% |
| Buy and hold | 2.1% | -71.2% | 0.23 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 15-day middle average