Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Emerging Markets ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Emerging Markets ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.9%, MDD -22.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -65.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.9%, MDD -22.0%, Sharpe 0.30, 42% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.0%, MDD -52.4%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 43.0%p (CAGR 2.9%, MDD -22.0%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=49, exitN=25 |
2.9% | -22.0% | 0.30 | 0.13 | 1.8x | 66 | 42% |
| EMA 크로스오버 fast=28, slow=45 |
3.2% | -37.0% | 0.29 | 0.09 | 1.9x | 75 | 57% |
| ROC 모멘텀 Hold-like · Exposure 96% n=39, threshold=-0.15 |
4.0% | -52.4% | 0.29 | 0.08 | 2.1x | 31 | 96% |
| SMA 크로스오버 fast=25, slow=93 |
2.3% | -35.9% | 0.23 | 0.07 | 1.6x | 57 | 55% |
| Supertrend period=29, mult=4.6 |
1.8% | -42.5% | 0.20 | 0.04 | 1.4x | 94 | 55% |
| 볼린저 밴드 돌파 n=37, k=3.3 |
0.2% | -3.6% | 0.17 | 0.06 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=47, threshold=17 |
0.6% | -18.8% | 0.13 | 0.03 | 1.1x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=1.7 |
0.6% | -45.7% | 0.11 | 0.01 | 1.1x | 119 | 46% |
| MACD fast=15, slow=54, signal=14 |
-3.5% | -62.2% | -0.16 | -0.06 | 0.5x | 249 | 49% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-8.4% | -85.8% | -0.46 | -0.10 | 0.2x | 435 | 55% |
| Buy and hold | 3.1% | -65.1% | 0.25 | 0.05 | 1.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 49 days
- Sell — Sell when price breaks below the lowest low of the last 25 days