Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Aggregate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Aggregate Bond ETF. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.3%, drawdown -24.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.0%, Sharpe 0.13, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 0.0%, MDD -0.7%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=42, threshold=26 |
0.1% | -2.0% | 0.13 | 0.03 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=45, threshold=0.13 |
0.0% | -0.7% | 0.07 | 0.03 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=31, slow=184 |
-0.3% | -13.5% | -0.07 | -0.03 | 0.9x | 30 | 52% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
-0.0% | -1.6% | -0.08 | -0.02 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=36, slow=154 |
-0.7% | -17.5% | -0.15 | -0.04 | 0.9x | 34 | 52% |
| Supertrend period=27, mult=4.5 |
-0.8% | -18.3% | -0.19 | -0.05 | 0.8x | 66 | 51% |
| Donchian 채널 돌파 entryN=102, exitN=56 |
-0.6% | -16.0% | -0.19 | -0.04 | 0.9x | 26 | 38% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=21, mult=3.9 |
-0.5% | -10.5% | -0.38 | -0.05 | 0.9x | 22 | 7% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.6% | -51.6% | -0.88 | -0.07 | 0.5x | 154 | 51% |
| MACD fast=18, slow=39, signal=19 |
-5.4% | -66.1% | -1.34 | -0.08 | 0.3x | 206 | 50% |
| Buy and hold | -0.3% | -24.1% | -0.01 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 42-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)