Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio S&P 500 ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio S&P 500 ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.7%, MDD -30.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -55.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -30.5%, Sharpe 0.73, 74% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 25.3%p (CAGR 8.7%, MDD -30.5%, exposure 74%).
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=27, slow=218 |
8.7% | -30.5% | 0.73 | 0.29 | 5.6x | 19 | 74% |
| EMA 크로스오버 fast=42, slow=136 |
7.3% | -26.8% | 0.64 | 0.27 | 4.3x | 27 | 76% |
| Donchian 채널 돌파 entryN=79, exitN=61 |
5.5% | -25.9% | 0.55 | 0.21 | 3.1x | 39 | 68% |
| Supertrend period=23, mult=5 |
5.4% | -26.4% | 0.55 | 0.20 | 2.9x | 103 | 67% |
| ROC 모멘텀 n=146, threshold=-0.04 |
5.5% | -33.7% | 0.48 | 0.16 | 3.0x | 87 | 82% |
| Parabolic SAR step=0.005, maxStep=0.06 |
1.7% | -45.4% | 0.20 | 0.04 | 1.4x | 164 | 67% |
| 볼린저 밴드 돌파 n=75, k=0.9 |
1.4% | -28.9% | 0.19 | 0.05 | 1.3x | 124 | 63% |
| ADX / DI 방향성 period=25, threshold=27 |
0.2% | -14.2% | 0.07 | 0.01 | 1.0x | 16 | 6% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=3 |
0.2% | -31.8% | 0.07 | 0.01 | 1.0x | 118 | 51% |
| MACD fast=17, slow=58, signal=23 |
-2.4% | -51.9% | -0.17 | -0.05 | 0.6x | 234 | 54% |
| Buy and hold | 9.2% | -55.8% | 0.57 | 0.16 | 6.2x | 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 27-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 27-day average falls below the 218-day average