Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Financial Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Financial 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 4.7%, MDD -46.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.0%, drawdown -83.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.7%, MDD -46.7%, Sharpe 0.37, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 4.7%, MDD -46.7%, exposure 63%).
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=50, slow=173 |
4.7% | -46.7% | 0.37 | 0.10 | 3.5x | 41 | 63% |
| EMA 크로스오버 fast=59, slow=104 |
3.6% | -37.6% | 0.31 | 0.10 | 2.7x | 53 | 66% |
| Donchian 채널 돌파 entryN=28, exitN=70 |
3.4% | -46.8% | 0.28 | 0.07 | 2.5x | 61 | 78% |
| ROC 모멘텀 n=171, threshold=-0.1 |
3.3% | -40.3% | 0.27 | 0.08 | 2.4x | 95 | 80% |
| ADX / DI 방향성 period=36, threshold=25 |
0.5% | -6.0% | 0.25 | 0.09 | 1.2x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=3.9 |
0.4% | -27.3% | 0.10 | 0.02 | 1.1x | 51 | 18% |
| 볼린저 밴드 돌파 n=16, k=3 |
0.2% | -12.4% | 0.09 | 0.02 | 1.1x | 24 | 3% |
| Supertrend period=18, mult=4.4 |
-0.3% | -52.7% | 0.07 | -0.01 | 0.9x | 117 | 60% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.3% | -75.3% | -0.16 | -0.06 | 0.3x | 259 | 58% |
| MACD fast=18, slow=26, signal=19 |
-4.8% | -81.3% | -0.18 | -0.06 | 0.3x | 365 | 50% |
| Buy and hold | 4.0% | -83.7% | 0.28 | 0.05 | 3.0x | 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 50-day average price crosses above the 173-day average
- Sell — Sell (to cash) when the 50-day average falls below the 173-day average