Trend-Following Backtester · Guide · backtest 한국어
etf · DE
SSgA SPDR ETFs Europe II PLC - State Street SPDR FTSE Global Convertible Bond UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of SSgA SPDR ETFs Europe II PLC - State Street SPDR FTSE Global Convertible Bond UCITS ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.9%, MDD -15.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -30.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.7%, MDD -17.3%, Sharpe 0.82, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 13.1%p (CAGR 6.9%, MDD -15.2%, exposure 66%).
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=13, slow=207 |
7.7% | -17.3% | 0.82 | 0.44 | 1.8x | 11 | 72% |
| EMA 크로스오버 fast=8, slow=209 |
6.9% | -15.2% | 0.78 | 0.46 | 1.7x | 17 | 66% |
| Donchian 채널 돌파 entryN=55, exitN=78 |
6.0% | -19.1% | 0.70 | 0.31 | 1.6x | 13 | 67% |
| Supertrend period=14, mult=4.7 |
5.1% | -15.8% | 0.68 | 0.33 | 1.5x | 35 | 56% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=2.4 |
4.5% | -12.2% | 0.68 | 0.37 | 1.4x | 38 | 43% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.04 |
6.4% | -37.4% | 0.62 | 0.17 | 1.7x | 19 | 99% |
| 볼린저 밴드 돌파 n=45, k=1.5 |
4.0% | -17.7% | 0.61 | 0.23 | 1.4x | 40 | 45% |
| ADX / DI 방향성 period=28, threshold=18 |
2.3% | -12.3% | 0.44 | 0.19 | 1.2x | 36 | 26% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.3% | -31.2% | 0.01 | -0.01 | 1.0x | 82 | 59% |
| MACD fast=15, slow=57, signal=19 |
-1.0% | -29.7% | -0.10 | -0.03 | 0.9x | 94 | 53% |
| Buy and hold | 7.2% | -30.4% | 0.64 | 0.24 | 1.8x | 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 13-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 13-day average falls below the 207-day average