Trend-Following Backtester · Guide · backtest 한국어
equity · US
State Street Corporation backtest
10 trend-following strategies were compared on the full daily history of State Street Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.2%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.0%, drawdown -82.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -51.5%, Sharpe 0.61, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.4%, MDD -54.2%, exposure 75%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p lower than buy and hold, while drawdown improves by 31.1%p (CAGR 12.2%, MDD -51.5%, exposure 67%).
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=43, slow=166 |
12.2% | -51.5% | 0.61 | 0.24 | 205.4x | 63 | 67% |
| Donchian 채널 돌파 entryN=45, exitN=75 |
12.4% | -54.2% | 0.60 | 0.23 | 229.9x | 79 | 75% |
| EMA 크로스오버 fast=46, slow=110 |
11.2% | -52.1% | 0.58 | 0.22 | 138.9x | 79 | 68% |
| Supertrend period=6, mult=5 |
10.6% | -55.3% | 0.57 | 0.19 | 106.8x | 181 | 61% |
| ADX / DI 방향성 period=49, threshold=17 |
5.4% | -30.2% | 0.51 | 0.18 | 11.4x | 95 | 22% |
| ROC 모멘텀 n=113, threshold=-0.02 |
9.1% | -74.2% | 0.49 | 0.12 | 56.1x | 313 | 70% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=12, mult=3.6 |
1.1% | -23.5% | 0.37 | 0.05 | 1.7x | 22 | 2% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
4.7% | -71.3% | 0.33 | 0.07 | 8.3x | 275 | 49% |
| Parabolic SAR step=0.015, maxStep=0.38 |
3.4% | -96.2% | 0.26 | 0.03 | 4.6x | 788 | 55% |
| MACD fast=8, slow=23, signal=8 |
1.0% | -96.4% | 0.16 | 0.01 | 1.6x | 1096 | 50% |
| Buy and hold | 16.0% | -82.6% | 0.60 | 0.19 | 967.2x | 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 43-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 43-day average falls below the 166-day average