Trend-Following Backtester · Guide · backtest 한국어
etf · AU
State Street SPDR S&P ASX 200 ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P ASX 200 ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.4%, drawdown -51.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.9%, MDD -28.4%, Sharpe 0.14, 64% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=44, slow=187 |
0.9% | -28.4% | 0.14 | 0.03 | 1.2x | 31 | 64% |
| Donchian 채널 돌파 entryN=51, exitN=92 |
0.5% | -24.6% | 0.10 | 0.02 | 1.1x | 35 | 70% |
| ADX / DI 방향성 period=36, threshold=25 |
0.1% | -3.7% | 0.10 | 0.03 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=124, threshold=-0.03 |
-0.2% | -30.7% | 0.04 | -0.01 | 1.0x | 113 | 74% |
| EMA 크로스오버 fast=56, slow=156 |
-0.3% | -31.7% | 0.03 | -0.01 | 0.9x | 31 | 66% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=27, mult=3.8 |
-0.0% | -3.5% | -0.03 | -0.01 | 1.0x | 6 | 1% |
| 볼린저 밴드 돌파 n=27, k=3.4 |
-0.0% | -3.3% | -0.03 | -0.01 | 1.0x | 2 | 1% |
| Supertrend period=17, mult=5 |
-2.1% | -39.2% | -0.14 | -0.05 | 0.7x | 79 | 57% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-6.7% | -73.8% | -0.56 | -0.09 | 0.3x | 181 | 58% |
| MACD fast=17, slow=57, signal=23 |
-8.7% | -82.8% | -0.74 | -0.11 | 0.2x | 233 | 51% |
| Buy and hold | 1.4% | -51.9% | 0.17 | 0.03 | 1.3x | 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 44-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 44-day average falls below the 187-day average