Trend-Following Backtester · Guide · backtest 한국어
etf · US
Xtrackers S&P 500 Scored & Screened ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers S&P 500 Scored & Screened ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.0%, MDD -16.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -33.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -16.1%, Sharpe 1.16, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 17.7%p (CAGR 14.0%, MDD -16.1%, exposure 70%).
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=30, slow=189 |
14.0% | -16.1% | 1.16 | 0.87 | 2.5x | 5 | 70% |
| Supertrend period=13, mult=4.9 |
10.5% | -14.8% | 0.98 | 0.71 | 2.0x | 25 | 65% |
| EMA 크로스오버 fast=30, slow=204 |
12.0% | -20.6% | 0.97 | 0.59 | 2.2x | 7 | 73% |
| Donchian 채널 돌파 entryN=81, exitN=60 |
10.4% | -14.5% | 0.95 | 0.72 | 2.0x | 11 | 67% |
| ROC 모멘텀 n=74, threshold=0 |
7.7% | -26.3% | 0.66 | 0.29 | 1.7x | 41 | 73% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
5.9% | -17.8% | 0.61 | 0.33 | 1.5x | 34 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=3.7 |
4.7% | -11.1% | 0.58 | 0.43 | 1.4x | 22 | 43% |
| MACD fast=20, slow=68, signal=20 |
3.3% | -31.4% | 0.35 | 0.11 | 1.3x | 66 | 52% |
| Parabolic SAR step=0.015, maxStep=0.3 |
0.7% | -32.0% | 0.12 | 0.02 | 1.0x | 148 | 64% |
| ADX / DI 방향성 period=23, threshold=26 |
0.2% | -7.6% | 0.07 | 0.02 | 1.0x | 12 | 8% |
| Buy and hold | 15.2% | -33.8% | 0.82 | 0.45 | 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 30-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 30-day average falls below the 189-day average