Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio S&P 1500 Composite Stock Market ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio S&P 1500 Composite Stock Market ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.9%, MDD -27.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -56.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.9%, MDD -27.4%, Sharpe 0.63, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 28.5%p (CAGR 6.9%, MDD -27.4%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=45, slow=134 |
6.9% | -27.4% | 0.63 | 0.25 | 5.6x | 27 | 72% |
| SMA 크로스오버 fast=38, slow=168 |
6.8% | -34.2% | 0.61 | 0.20 | 5.5x | 33 | 70% |
| Donchian 채널 돌파 entryN=97, exitN=61 |
5.4% | -27.2% | 0.58 | 0.20 | 3.9x | 39 | 60% |
| ROC 모멘텀 n=177, threshold=-0.08 |
5.5% | -34.6% | 0.47 | 0.16 | 4.0x | 85 | 84% |
| Supertrend period=16, mult=5 |
3.8% | -40.9% | 0.41 | 0.09 | 2.6x | 107 | 62% |
| Parabolic SAR step=0.02, maxStep=0.02 |
2.1% | -40.3% | 0.24 | 0.05 | 1.7x | 143 | 71% |
| ADX / DI 방향성 period=32, threshold=23 |
0.2% | -12.9% | 0.10 | 0.02 | 1.1x | 14 | 5% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=3.7 |
0.5% | -27.4% | 0.10 | 0.02 | 1.1x | 90 | 35% |
| 볼린저 밴드 돌파 n=51, k=3.1 |
0.0% | -2.8% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| MACD fast=18, slow=71, signal=16 |
-1.9% | -53.5% | -0.12 | -0.03 | 0.6x | 300 | 52% |
| Buy and hold | 7.0% | -56.0% | 0.44 | 0.12 | 5.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 134-day EMA
- Sell — Sell when the 45-day EMA falls below the 134-day EMA