Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Real Estate Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Real Estate Select Sector SPDR ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.5%, drawdown -39.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -4.4%, Sharpe 0.24, 2% exposure.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=3.5 |
0.5% | -4.4% | 0.24 | 0.11 | 1.1x | 4 | 2% |
| ROC 모멘텀 Hold-like · Exposure 99% n=1, threshold=-0.03 |
0.4% | -42.4% | 0.12 | 0.01 | 1.0x | 69 | 99% |
| SMA 크로스오버 fast=59, slow=188 |
-0.3% | -37.0% | 0.05 | -0.01 | 1.0x | 13 | 57% |
| Supertrend period=28, mult=3.8 |
-0.5% | -28.8% | 0.03 | -0.02 | 0.9x | 55 | 62% |
| Donchian 채널 돌파 entryN=17, exitN=71 |
-1.0% | -49.2% | 0.01 | -0.02 | 0.9x | 33 | 80% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=21, mult=3.7 |
-0.3% | -12.7% | -0.04 | -0.02 | 1.0x | 16 | 9% |
| ADX / DI 방향성 period=30, threshold=22 |
-0.2% | -6.2% | -0.06 | -0.03 | 1.0x | 6 | 4% |
| EMA 크로스오버 fast=77, slow=109 |
-2.3% | -38.3% | -0.09 | -0.06 | 0.8x | 21 | 62% |
| MACD fast=11, slow=33, signal=15 |
-4.0% | -41.4% | -0.26 | -0.10 | 0.6x | 170 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-5.5% | -47.5% | -0.35 | -0.12 | 0.5x | 203 | 56% |
| Buy and hold | 3.5% | -39.3% | 0.27 | 0.09 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 26-day middle average