Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Retail ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Retail ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -31.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -66.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -31.9%, Sharpe 0.53, 59% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.0%, MDD -48.5%, exposure 84%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 34.3%p (CAGR 7.9%, MDD -31.9%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=39, slow=266 |
7.9% | -31.9% | 0.53 | 0.25 | 4.6x | 17 | 59% |
| Donchian 채널 돌파 entryN=11, exitN=64 |
8.0% | -48.5% | 0.46 | 0.16 | 4.7x | 61 | 84% |
| Supertrend period=29, mult=4.3 |
5.8% | -41.0% | 0.41 | 0.14 | 3.1x | 75 | 59% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
0.5% | -3.0% | 0.39 | 0.18 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=12, slow=189 |
4.6% | -44.1% | 0.35 | 0.10 | 2.5x | 55 | 59% |
| ADX / DI 방향성 period=35, threshold=14 |
2.6% | -27.2% | 0.28 | 0.10 | 1.7x | 90 | 26% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=3.9 |
2.3% | -23.8% | 0.27 | 0.10 | 1.6x | 42 | 20% |
| ROC 모멘텀 n=78, threshold=0.09 |
1.6% | -51.8% | 0.19 | 0.03 | 1.4x | 209 | 28% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.5% | -43.7% | 0.17 | 0.04 | 1.4x | 187 | 58% |
| MACD fast=14, slow=44, signal=17 |
-3.4% | -64.4% | -0.10 | -0.05 | 0.5x | 273 | 51% |
| Buy and hold | 8.1% | -66.2% | 0.43 | 0.12 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 266-day EMA
- Sell — Sell when the 39-day EMA falls below the 266-day EMA