Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P MIDCAP 400 ETF Trust backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P MIDCAP 400 ETF Trust. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.2%, MDD -43.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -56.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -43.1%, Sharpe 0.55, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 13.2%p (CAGR 8.2%, MDD -43.1%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=97 |
8.2% | -43.1% | 0.55 | 0.19 | 11.7x | 53 | 88% |
| EMA 크로스오버 fast=45, slow=193 |
6.6% | -31.3% | 0.50 | 0.21 | 7.4x | 33 | 76% |
| SMA 크로스오버 fast=10, slow=220 |
5.9% | -27.2% | 0.48 | 0.22 | 6.0x | 67 | 74% |
| Supertrend period=23, mult=5 |
3.8% | -24.4% | 0.35 | 0.15 | 3.2x | 111 | 64% |
| ROC 모멘텀 n=127, threshold=-0.04 |
4.2% | -45.0% | 0.34 | 0.09 | 3.6x | 181 | 82% |
| 볼린저 밴드 돌파 n=26, k=3.2 |
0.4% | -8.6% | 0.21 | 0.05 | 1.1x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=8, mult=2.5 |
0.8% | -38.3% | 0.13 | 0.02 | 1.3x | 157 | 52% |
| ADX / DI 방향성 period=35, threshold=18 |
0.0% | -28.3% | 0.03 | 0.00 | 1.0x | 58 | 8% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.9% | -49.8% | 0.00 | -0.02 | 0.8x | 310 | 62% |
| MACD fast=18, slow=29, signal=14 |
-3.5% | -74.3% | -0.20 | -0.05 | 0.3x | 474 | 50% |
| Buy and hold | 9.7% | -56.3% | 0.54 | 0.17 | 18.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 97 days