Trend-Following Backtester · Guide · backtest 한국어
etf · DE
State Street SPDR S&P 500 UCITS ETF USD backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P 500 UCITS ETF USD. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.3%, MDD -25.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.6%, drawdown -34.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.7%, MDD -32.1%, Sharpe 0.93, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 2.1%p (CAGR 11.3%, MDD -25.8%, exposure 87%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=11, threshold=-0.09 |
13.7% | -32.1% | 0.93 | 0.43 | 6.4x | 21 | 99% |
| Donchian 채널 돌파 entryN=15, exitN=56 |
11.3% | -25.8% | 0.88 | 0.44 | 4.7x | 37 | 87% |
| EMA 크로스오버 fast=16, slow=205 |
9.6% | -25.0% | 0.77 | 0.38 | 3.8x | 19 | 80% |
| SMA 크로스오버 fast=12, slow=93 |
7.7% | -24.5% | 0.69 | 0.31 | 2.9x | 43 | 73% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=11, mult=1.5 |
6.1% | -23.3% | 0.62 | 0.26 | 2.4x | 79 | 67% |
| 볼린저 밴드 돌파 n=77, k=1.9 |
4.6% | -19.7% | 0.56 | 0.23 | 1.9x | 45 | 48% |
| MACD fast=30, slow=92, signal=28 |
4.8% | -19.3% | 0.54 | 0.25 | 2.0x | 88 | 52% |
| Supertrend period=27, mult=4.4 |
4.8% | -18.8% | 0.49 | 0.26 | 2.0x | 91 | 69% |
| ADX / DI 방향성 period=24, threshold=37 |
0.4% | -1.9% | 0.37 | 0.23 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.6% | -24.7% | 0.20 | 0.06 | 1.3x | 143 | 62% |
| Buy and hold | 13.6% | -34.2% | 0.87 | 0.40 | 6.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 11-day return is greater than -9%
- Sell — Sell when the 11-day return drops to -9% or below