Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Utilities Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Utilities 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 4.5%, MDD -36.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.0%, drawdown -55.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -36.7%, Sharpe 0.39, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 19.0%p (CAGR 4.5%, MDD -36.7%, exposure 65%).
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=76, slow=196 |
4.5% | -36.7% | 0.39 | 0.12 | 3.4x | 27 | 65% |
| ROC 모멘텀 Hold-like · Exposure 98% n=18, threshold=-0.1 |
3.6% | -51.1% | 0.29 | 0.07 | 2.6x | 49 | 98% |
| Donchian 채널 돌파 entryN=59, exitN=140 |
3.1% | -33.0% | 0.29 | 0.09 | 2.3x | 25 | 80% |
| EMA 크로스오버 fast=41, slow=135 |
2.5% | -40.1% | 0.26 | 0.06 | 2.0x | 41 | 67% |
| ADX / DI 방향성 period=19, threshold=35 |
0.4% | -8.3% | 0.19 | 0.05 | 1.1x | 14 | 3% |
| Supertrend period=8, mult=4.8 |
0.6% | -43.0% | 0.11 | 0.01 | 1.2x | 82 | 54% |
| MACD fast=32, slow=53, signal=35 |
-0.2% | -37.3% | 0.04 | -0.00 | 1.0x | 179 | 52% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
-0.0% | -13.8% | 0.00 | -0.00 | 1.0x | 14 | 3% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.0% | -41.9% | -0.01 | -0.02 | 0.8x | 245 | 58% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=2.6 |
-1.7% | -43.3% | -0.18 | -0.04 | 0.6x | 114 | 30% |
| Buy and hold | 4.0% | -55.7% | 0.30 | 0.07 | 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 76-day average price crosses above the 196-day average
- Sell — Sell (to cash) when the 76-day average falls below the 196-day average