Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P 400 Mid Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P 400 Mid Cap Value ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.9%, MDD -43.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.5%, drawdown -62.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.4%, MDD -48.6%, Sharpe 0.47, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 5.9%, MDD -43.2%, exposure 82%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=11, threshold=-0.1 |
7.4% | -48.6% | 0.47 | 0.15 | 4.4x | 43 | 98% |
| Donchian 채널 돌파 entryN=26, exitN=79 |
5.9% | -43.2% | 0.44 | 0.14 | 3.3x | 43 | 82% |
| EMA 크로스오버 fast=20, slow=216 |
4.3% | -36.1% | 0.38 | 0.12 | 2.4x | 35 | 69% |
| SMA 크로스오버 fast=36, slow=97 |
4.1% | -35.3% | 0.37 | 0.12 | 2.3x | 53 | 64% |
| Supertrend period=30, mult=5 |
2.3% | -42.0% | 0.23 | 0.05 | 1.6x | 107 | 67% |
| ADX / DI 방향성 period=30, threshold=33 |
0.1% | -0.8% | 0.20 | 0.12 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
0.2% | -3.4% | 0.19 | 0.07 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=11, mult=1.8 |
-1.0% | -47.3% | -0.03 | -0.02 | 0.8x | 171 | 51% |
| MACD fast=19, slow=22, signal=16 |
-1.7% | -50.1% | -0.05 | -0.03 | 0.7x | 294 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.4% | -53.8% | -0.10 | -0.04 | 0.6x | 379 | 58% |
| Buy and hold | 6.5% | -62.6% | 0.40 | 0.10 | 3.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 11-day return is greater than -10%
- Sell — Sell when the 11-day return drops to -10% or below