Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Developed World ex-US ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Developed World ex-US ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.3%, MDD -23.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.2%, drawdown -62.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.5%, MDD -24.0%, Sharpe 0.33, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 3.3%, MDD -23.7%, exposure 63%).
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=23, slow=131 |
3.5% | -24.0% | 0.33 | 0.14 | 1.9x | 39 | 61% |
| EMA 크로스오버 fast=47, slow=98 |
3.3% | -23.7% | 0.32 | 0.14 | 1.9x | 39 | 63% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
0.2% | -1.5% | 0.24 | 0.11 | 1.0x | 2 | 1% |
| Supertrend period=16, mult=4.6 |
1.8% | -29.8% | 0.21 | 0.06 | 1.4x | 85 | 59% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=29, mult=3.6 |
0.1% | -2.1% | 0.16 | 0.04 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=30, exitN=77 |
0.9% | -35.4% | 0.14 | 0.03 | 1.2x | 49 | 75% |
| ROC 모멘텀 n=124, threshold=-0.04 |
-0.3% | -43.9% | 0.04 | -0.01 | 0.9x | 121 | 69% |
| ADX / DI 방향성 period=39, threshold=13 |
-1.2% | -26.9% | -0.08 | -0.04 | 0.8x | 80 | 22% |
| MACD fast=24, slow=49, signal=21 |
-3.5% | -57.9% | -0.20 | -0.06 | 0.5x | 184 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.4% | -66.0% | -0.28 | -0.07 | 0.4x | 176 | 59% |
| Buy and hold | 2.2% | -62.2% | 0.21 | 0.04 | 1.5x | 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 23-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 23-day average falls below the 131-day average