Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Long Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Long Term Treasury ETF. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -5.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.0%, drawdown -50.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -5.3%, Sharpe 0.22, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.4%, MDD -29.8%, exposure 82%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 0.4%, MDD -5.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=3.4 |
0.4% | -5.3% | 0.22 | 0.07 | 1.1x | 4 | 1% |
| Donchian 채널 돌파 entryN=17, exitN=105 |
1.4% | -29.8% | 0.17 | 0.05 | 1.3x | 37 | 82% |
| ADX / DI 방향성 period=37, threshold=20 |
0.6% | -12.7% | 0.15 | 0.05 | 1.1x | 16 | 8% |
| SMA 크로스오버 fast=44, slow=189 |
0.6% | -24.4% | 0.10 | 0.02 | 1.1x | 28 | 48% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=8, mult=3.9 |
0.3% | -14.0% | 0.09 | 0.02 | 1.1x | 20 | 5% |
| EMA 크로스오버 fast=48, slow=120 |
0.2% | -32.6% | 0.07 | 0.01 | 1.0x | 36 | 49% |
| Supertrend period=14, mult=4.3 |
-1.4% | -35.5% | -0.11 | -0.04 | 0.8x | 96 | 45% |
| ROC 모멘텀 n=135, threshold=-0.02 |
-3.2% | -48.8% | -0.25 | -0.06 | 0.5x | 146 | 58% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.7% | -53.4% | -0.35 | -0.07 | 0.5x | 152 | 48% |
| MACD fast=17, slow=48, signal=18 |
-4.4% | -59.7% | -0.41 | -0.07 | 0.4x | 214 | 49% |
| Buy and hold | -0.0% | -50.2% | 0.07 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 26-day middle average