Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Semiconductor ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Semiconductor ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.1%, MDD -36.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -64.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -36.8%, Sharpe 0.59, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 28.1%p (CAGR 12.1%, MDD -36.8%, exposure 70%).
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=31, slow=219 |
12.1% | -36.8% | 0.59 | 0.33 | 10.4x | 29 | 70% |
| EMA 크로스오버 fast=43, slow=178 |
11.8% | -37.8% | 0.58 | 0.31 | 9.9x | 25 | 72% |
| Donchian 채널 돌파 entryN=20, exitN=74 |
12.0% | -52.3% | 0.55 | 0.23 | 10.1x | 43 | 86% |
| ROC 모멘텀 n=149, threshold=-0.03 |
9.3% | -48.8% | 0.49 | 0.19 | 6.2x | 127 | 74% |
| Supertrend period=28, mult=4.9 |
7.8% | -46.9% | 0.45 | 0.17 | 4.6x | 82 | 63% |
| 볼린저 밴드 돌파 n=26, k=2.9 |
2.6% | -15.7% | 0.36 | 0.16 | 1.7x | 18 | 5% |
| MACD fast=31, slow=42, signal=14 |
4.5% | -45.7% | 0.31 | 0.10 | 2.5x | 218 | 51% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=3.8 |
1.4% | -12.5% | 0.30 | 0.11 | 1.3x | 4 | 1% |
| ADX / DI 방향성 period=34, threshold=27 |
0.6% | -9.1% | 0.20 | 0.07 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.5% | -73.9% | -0.05 | -0.05 | 0.5x | 414 | 55% |
| Buy and hold | 15.2% | -64.9% | 0.60 | 0.23 | 18.2x | 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 31-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 31-day average falls below the 219-day average