Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Energy Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Energy Select Sector SPDR ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -29.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.1%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -29.7%, Sharpe 0.48, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 7.4%, MDD -29.7%, exposure 60%).
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=30, slow=253 |
7.4% | -29.7% | 0.48 | 0.25 | 7.2x | 35 | 60% |
| EMA 크로스오버 fast=57, slow=135 |
4.9% | -48.9% | 0.35 | 0.10 | 3.8x | 41 | 63% |
| 볼린저 밴드 돌파 n=39, k=2.9 |
2.1% | -17.7% | 0.34 | 0.12 | 1.8x | 24 | 8% |
| Donchian 채널 돌파 entryN=19, exitN=72 |
5.0% | -49.2% | 0.33 | 0.10 | 3.8x | 65 | 79% |
| ROC 모멘텀 n=150, threshold=-0.13 |
4.5% | -68.4% | 0.31 | 0.07 | 3.3x | 97 | 84% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=3.3 |
1.0% | -27.5% | 0.18 | 0.04 | 1.3x | 38 | 8% |
| ADX / DI 방향성 period=38, threshold=25 |
0.4% | -12.1% | 0.14 | 0.03 | 1.1x | 6 | 2% |
| Supertrend period=29, mult=3.2 |
0.7% | -52.7% | 0.13 | 0.01 | 1.2x | 191 | 55% |
| Parabolic SAR step=0.005, maxStep=0.04 |
-1.8% | -67.4% | -0.01 | -0.03 | 0.6x | 231 | 55% |
| MACD fast=15, slow=46, signal=19 |
-2.8% | -74.4% | -0.06 | -0.04 | 0.5x | 325 | 51% |
| Buy and hold | 6.1% | -76.7% | 0.35 | 0.08 | 5.1x | 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 30-day average price crosses above the 253-day average
- Sell — Sell (to cash) when the 30-day average falls below the 253-day average