Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P 400 Mid Cap Growth ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P 400 Mid Cap Growth ETF. 1 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 9.0%, MDD -42.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -59.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -42.9%, Sharpe 0.59, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 16.4%p (CAGR 9.0%, MDD -42.9%, exposure 87%).
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=20, exitN=78 |
9.0% | -42.9% | 0.59 | 0.21 | 5.9x | 37 | 87% |
| EMA 크로스오버 fast=38, slow=160 |
6.8% | -25.8% | 0.53 | 0.26 | 3.9x | 27 | 73% |
| SMA 크로스오버 fast=17, slow=217 |
6.5% | -27.7% | 0.51 | 0.23 | 3.7x | 33 | 72% |
| ROC 모멘텀 n=70, threshold=-0.04 |
4.8% | -36.6% | 0.39 | 0.13 | 2.7x | 133 | 80% |
| Supertrend period=26, mult=5 |
2.8% | -43.3% | 0.26 | 0.06 | 1.8x | 93 | 67% |
| Parabolic SAR step=0.01, maxStep=0.16 |
0.2% | -37.1% | 0.09 | 0.01 | 1.1x | 290 | 60% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=1.7 |
0.3% | -42.3% | 0.08 | 0.01 | 1.1x | 160 | 54% |
| ADX / DI 방향성 period=39, threshold=29 |
-0.0% | -6.6% | -0.00 | -0.00 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=53, k=1.7 |
-0.7% | -45.8% | -0.01 | -0.01 | 0.9x | 118 | 45% |
| MACD fast=12, slow=27, signal=16 |
-4.1% | -58.3% | -0.23 | -0.07 | 0.4x | 338 | 52% |
| Buy and hold | 8.9% | -59.3% | 0.50 | 0.15 | 5.9x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 78 days