Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Communication Services Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Communication Services Select Sector SPDR ETF. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.9%, MDD -13.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.2%, drawdown -47.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.1%, MDD -14.3%, Sharpe 1.07, 69% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 13.9%, MDD -13.0%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=22, slow=78 |
15.1% | -14.3% | 1.07 | 1.06 | 3.2x | 10 | 69% |
| Donchian 채널 돌파 entryN=48, exitN=74 |
13.9% | -13.0% | 1.02 | 1.07 | 2.9x | 10 | 66% |
| SMA 크로스오버 fast=9, slow=111 |
13.1% | -15.0% | 0.95 | 0.87 | 2.7x | 20 | 66% |
| ROC 모멘텀 n=80, threshold=-0.03 |
11.0% | -24.3% | 0.79 | 0.45 | 2.3x | 41 | 72% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=21, mult=1.2 |
8.2% | -17.0% | 0.69 | 0.49 | 1.9x | 42 | 61% |
| Supertrend period=25, mult=4.2 |
8.0% | -19.1% | 0.67 | 0.42 | 1.9x | 34 | 57% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
5.2% | -15.6% | 0.52 | 0.34 | 1.5x | 34 | 46% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.5% | -44.7% | 0.18 | 0.03 | 1.1x | 79 | 60% |
| ADX / DI 방향성 period=24, threshold=28 |
0.0% | -7.5% | 0.02 | 0.00 | 1.0x | 8 | 5% |
| MACD fast=13, slow=53, signal=13 |
-2.9% | -46.2% | -0.16 | -0.06 | 0.8x | 119 | 53% |
| Buy and hold | 10.2% | -47.2% | 0.55 | 0.22 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 22-day EMA crosses above the 78-day EMA
- Sell — Sell when the 22-day EMA falls below the 78-day EMA