Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Health Care Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Health Care Select Sector SPDR ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -40.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.3%, MDD -43.0%, Sharpe 0.44, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.09 |
6.3% | -43.0% | 0.44 | 0.15 | 5.4x | 19 | 100% |
| Donchian 채널 돌파 entryN=46, exitN=64 |
3.1% | -33.6% | 0.32 | 0.09 | 2.3x | 53 | 65% |
| SMA 크로스오버 fast=59, slow=299 |
3.1% | -37.2% | 0.30 | 0.08 | 2.3x | 35 | 68% |
| ADX / DI 방향성 period=31, threshold=28 |
0.2% | -4.5% | 0.16 | 0.04 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=51, slow=168 |
1.1% | -39.5% | 0.15 | 0.03 | 1.4x | 53 | 69% |
| Supertrend period=8, mult=4.7 |
0.3% | -43.3% | 0.08 | 0.01 | 1.1x | 103 | 58% |
| Keltner 채널 돌파 emaPeriod=93, atrPeriod=12, mult=3.9 |
0.1% | -30.3% | 0.06 | 0.00 | 1.0x | 71 | 37% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
-0.1% | -7.8% | -0.03 | -0.01 | 1.0x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.2% | -69.0% | -0.22 | -0.05 | 0.4x | 257 | 60% |
| MACD fast=17, slow=34, signal=15 |
-4.5% | -74.1% | -0.36 | -0.06 | 0.3x | 359 | 51% |
| Buy and hold | 7.0% | -40.6% | 0.47 | 0.17 | 6.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -9%
- Sell — Sell when the 3-day return drops to -9% or below