Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Short Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Short Term Treasury ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR -0.3%, drawdown -10.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.3%, MDD -10.5%, Sharpe -0.09, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.3%, MDD -4.4%, exposure 8%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=47, threshold=-0.05 |
-0.3% | -10.5% | -0.09 | -0.03 | 1.0x | 3 | 99% |
| EMA 크로스오버 fast=55, slow=178 |
-0.6% | -10.0% | -0.21 | -0.06 | 0.9x | 18 | 52% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=8, mult=4 |
-0.5% | -7.2% | -0.27 | -0.06 | 0.9x | 4 | 1% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
-0.7% | -13.0% | -0.30 | -0.05 | 0.9x | 20 | 9% |
| Donchian 채널 돌파 entryN=103, exitN=73 |
-0.8% | -14.4% | -0.32 | -0.06 | 0.9x | 20 | 38% |
| SMA 크로스오버 fast=51, slow=194 |
-0.9% | -13.1% | -0.32 | -0.07 | 0.9x | 20 | 49% |
| ADX / DI 방향성 period=37, threshold=36 |
-0.3% | -4.4% | -0.42 | -0.07 | 1.0x | 8 | 8% |
| Supertrend period=29, mult=4.9 |
-1.5% | -19.7% | -0.54 | -0.08 | 0.8x | 42 | 41% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-2.7% | -33.0% | -0.95 | -0.08 | 0.7x | 74 | 43% |
| MACD fast=22, slow=45, signal=21 |
-5.5% | -56.6% | -1.82 | -0.10 | 0.4x | 151 | 48% |
| Buy and hold | -0.3% | -10.1% | -0.08 | -0.03 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 47-day return is greater than -5%
- Sell — Sell when the 47-day return drops to -5% or below