Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio S&P 500 Value ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio S&P 500 Value ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.4%, MDD -28.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.2%, drawdown -60.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.4%, MDD -28.3%, Sharpe 0.54, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 5.4%, MDD -28.3%, 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=44, slow=143 |
5.4% | -28.3% | 0.54 | 0.19 | 3.9x | 29 | 72% |
| SMA 크로스오버 fast=8, slow=211 |
4.9% | -25.3% | 0.52 | 0.19 | 3.5x | 65 | 69% |
| Donchian 채널 돌파 entryN=66, exitN=75 |
3.8% | -27.8% | 0.42 | 0.13 | 2.6x | 41 | 64% |
| Supertrend period=12, mult=5 |
2.4% | -23.9% | 0.29 | 0.10 | 1.8x | 109 | 56% |
| ROC 모멘텀 n=109, threshold=-0.02 |
2.4% | -40.5% | 0.27 | 0.06 | 1.9x | 169 | 75% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
0.1% | -4.5% | 0.15 | 0.03 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=24, threshold=29 |
0.1% | -12.4% | 0.04 | 0.01 | 1.0x | 12 | 3% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=21, mult=4 |
-0.7% | -23.8% | -0.17 | -0.03 | 0.8x | 40 | 9% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.3% | -66.5% | -0.23 | -0.05 | 0.4x | 247 | 62% |
| MACD fast=16, slow=31, signal=17 |
-3.7% | -64.3% | -0.28 | -0.06 | 0.4x | 349 | 51% |
| Buy and hold | 5.2% | -60.4% | 0.37 | 0.09 | 3.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 143-day EMA
- Sell — Sell when the 44-day EMA falls below the 143-day EMA