Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Pharmaceuticals ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Pharmaceuticals ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -52.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -46.6%, Sharpe 0.42, 74% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=37 |
5.7% | -46.6% | 0.42 | 0.12 | 3.0x | 87 | 74% |
| EMA 크로스오버 fast=28, slow=162 |
4.3% | -59.6% | 0.36 | 0.07 | 2.3x | 39 | 57% |
| ROC 모멘텀 Hold-like · Exposure 96% n=7, threshold=-0.06 |
4.8% | -60.3% | 0.34 | 0.08 | 2.6x | 143 | 96% |
| SMA 크로스오버 fast=54, slow=138 |
3.2% | -57.6% | 0.28 | 0.06 | 1.9x | 43 | 56% |
| 볼린저 밴드 돌파 n=48, k=2.6 |
1.6% | -32.7% | 0.24 | 0.05 | 1.4x | 39 | 20% |
| ADX / DI 방향성 period=39, threshold=16 |
1.4% | -22.2% | 0.22 | 0.06 | 1.3x | 47 | 15% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=2.7 |
1.3% | -43.1% | 0.18 | 0.03 | 1.3x | 91 | 37% |
| Supertrend period=25, mult=4 |
1.1% | -59.7% | 0.15 | 0.02 | 1.2x | 113 | 61% |
| MACD fast=16, slow=20, signal=15 |
-2.3% | -50.9% | -0.10 | -0.05 | 0.6x | 326 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.1% | -66.8% | -0.21 | -0.06 | 0.4x | 384 | 56% |
| Buy and hold | 7.7% | -52.7% | 0.45 | 0.15 | 4.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 37 days