Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Biotech ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Biotech ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -42.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -63.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -42.5%, Sharpe 0.57, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 21.4%p (CAGR 10.4%, MDD -42.5%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=42, exitN=52 |
10.4% | -42.5% | 0.57 | 0.24 | 7.7x | 41 | 66% |
| Supertrend period=11, mult=5 |
6.6% | -48.5% | 0.43 | 0.14 | 3.7x | 61 | 56% |
| SMA 크로스오버 fast=23, slow=166 |
7.1% | -49.6% | 0.42 | 0.14 | 4.1x | 37 | 65% |
| EMA 크로스오버 fast=19, slow=119 |
6.7% | -46.8% | 0.41 | 0.14 | 3.8x | 55 | 63% |
| ROC 모멘텀 n=79, threshold=-0.05 |
4.3% | -65.3% | 0.30 | 0.07 | 2.4x | 187 | 72% |
| 볼린저 밴드 돌파 n=45, k=1.1 |
3.6% | -38.9% | 0.29 | 0.09 | 2.1x | 159 | 48% |
| ADX / DI 방향성 period=21, threshold=30 |
1.0% | -17.4% | 0.22 | 0.06 | 1.2x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=1.4 |
2.3% | -40.0% | 0.22 | 0.06 | 1.6x | 167 | 46% |
| MACD fast=16, slow=55, signal=14 |
0.7% | -46.1% | 0.13 | 0.01 | 1.1x | 253 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.1% | -73.2% | -0.05 | -0.04 | 0.5x | 207 | 57% |
| Buy and hold | 11.8% | -63.9% | 0.52 | 0.18 | 9.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 42 days
- Sell — Sell when price breaks below the lowest low of the last 52 days