Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Dow Jones REIT ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Dow Jones REIT ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.1%, MDD -30.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.1%, drawdown -77.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -30.6%, Sharpe 0.47, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 6.1%, MDD -30.6%, exposure 62%).
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=69, slow=135 |
6.1% | -30.6% | 0.47 | 0.20 | 4.4x | 47 | 62% |
| Donchian 채널 돌파 entryN=114, exitN=65 |
3.4% | -34.2% | 0.34 | 0.10 | 2.3x | 37 | 50% |
| EMA 크로스오버 fast=49, slow=177 |
3.8% | -42.3% | 0.33 | 0.09 | 2.5x | 33 | 63% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
0.5% | -5.1% | 0.25 | 0.09 | 1.1x | 4 | 2% |
| ROC 모멘텀 n=133, threshold=-0.04 |
2.2% | -52.0% | 0.21 | 0.04 | 1.7x | 173 | 74% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.1% | -33.4% | 0.21 | 0.06 | 1.7x | 123 | 62% |
| Supertrend period=8, mult=4.8 |
1.0% | -50.7% | 0.14 | 0.02 | 1.3x | 95 | 50% |
| MACD fast=41, slow=60, signal=19 |
-0.5% | -47.9% | 0.07 | -0.01 | 0.9x | 187 | 53% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=15, mult=3.8 |
0.2% | -43.1% | 0.07 | 0.00 | 1.0x | 65 | 30% |
| ADX / DI 방향성 period=22, threshold=24 |
-1.5% | -37.3% | -0.23 | -0.04 | 0.7x | 60 | 9% |
| Buy and hold | 4.1% | -77.0% | 0.28 | 0.05 | 2.7x | 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 69-day average price crosses above the 135-day average
- Sell — Sell (to cash) when the 69-day average falls below the 135-day average