Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Consumer Staples Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Consumer Staples Select Sector SPDR ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.3%, drawdown -37.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.1%, MDD -24.9%, Sharpe 0.32, 73% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.2%, MDD -30.9%, exposure 88%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=73, slow=286 |
3.1% | -24.9% | 0.32 | 0.12 | 2.3x | 29 | 73% |
| ROC 모멘텀 n=200, threshold=-0.09 |
3.2% | -30.9% | 0.31 | 0.10 | 2.4x | 57 | 88% |
| Donchian 채널 돌파 entryN=73, exitN=101 |
2.5% | -28.7% | 0.29 | 0.09 | 2.0x | 31 | 73% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=3.2 |
0.2% | -3.0% | 0.21 | 0.07 | 1.1x | 2 | 0% |
| EMA 크로스오버 fast=41, slow=123 |
1.3% | -32.6% | 0.17 | 0.04 | 1.4x | 51 | 71% |
| 볼린저 밴드 돌파 n=42, k=3.3 |
0.1% | -6.5% | 0.07 | 0.01 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=36, threshold=25 |
0.0% | -6.3% | 0.03 | 0.00 | 1.0x | 6 | 1% |
| Supertrend period=22, mult=2.8 |
-1.1% | -36.6% | -0.05 | -0.03 | 0.7x | 207 | 63% |
| MACD fast=43, slow=64, signal=49 |
-2.4% | -53.5% | -0.21 | -0.04 | 0.5x | 153 | 50% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.5% | -65.7% | -0.30 | -0.05 | 0.4x | 265 | 59% |
| Buy and hold | 4.3% | -37.8% | 0.35 | 0.11 | 3.2x | 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 73-day average price crosses above the 286-day average
- Sell — Sell (to cash) when the 73-day average falls below the 286-day average