Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Bloomberg 1a??10 Year TIPS ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg 1a??10 Year TIPS ETF. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.1%, MDD -3.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.5%, drawdown -16.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.4%, MDD -8.0%, Sharpe 0.16, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 8.7%p (CAGR -0.1%, MDD -3.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=284 |
0.4% | -8.0% | 0.16 | 0.05 | 1.1x | 8 | 48% |
| EMA 크로스오버 fast=48, slow=167 |
-0.1% | -10.3% | -0.02 | -0.01 | 1.0x | 16 | 48% |
| ADX / DI 방향성 period=37, threshold=31 |
-0.0% | -3.4% | -0.03 | -0.01 | 1.0x | 4 | 4% |
| ROC 모멘텀 Hold-like · Exposure 96% n=88, threshold=-0.07 |
-0.5% | -18.0% | -0.08 | -0.03 | 0.9x | 5 | 96% |
| Donchian 채널 돌파 entryN=94, exitN=65 |
-0.5% | -10.2% | -0.16 | -0.05 | 0.9x | 16 | 39% |
| 볼린저 밴드 돌파 n=22, k=3.5 |
-0.1% | -3.3% | -0.16 | -0.03 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=14, mult=3.5 |
-1.9% | -22.5% | -0.88 | -0.09 | 0.8x | 42 | 23% |
| Supertrend period=26, mult=4.8 |
-3.5% | -38.0% | -1.04 | -0.09 | 0.6x | 66 | 48% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.7% | -39.3% | -1.10 | -0.09 | 0.6x | 92 | 48% |
| MACD fast=22, slow=42, signal=19 |
-5.1% | -49.7% | -1.44 | -0.10 | 0.5x | 125 | 50% |
| Buy and hold | -0.5% | -16.7% | -0.09 | -0.03 | 0.9x | 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 58-day average price crosses above the 284-day average
- Sell — Sell (to cash) when the 58-day average falls below the 284-day average