Trend-Following Backtester · Guide · backtest 한국어
etf · DE
State Street SPDR MSCI Emerging Markets UCITS ETF Accum.Shs USD backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR MSCI Emerging Markets UCITS ETF Accum.Shs USD. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.6%, MDD -33.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.7%, drawdown -44.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -33.4%, Sharpe 0.32, 63% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.8%, MDD -54.6%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 11.4%p (CAGR 3.6%, MDD -33.4%, exposure 63%).
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=50, slow=202 |
3.6% | -33.4% | 0.32 | 0.11 | 1.7x | 25 | 63% |
| ROC 모멘텀 Hold-like · Exposure 98% n=11, threshold=-0.09 |
4.8% | -54.6% | 0.31 | 0.09 | 2.0x | 45 | 98% |
| EMA 크로스오버 fast=25, slow=104 |
2.8% | -28.9% | 0.28 | 0.10 | 1.5x | 39 | 64% |
| Donchian 채널 돌파 entryN=115, exitN=54 |
1.9% | -23.3% | 0.24 | 0.08 | 1.3x | 24 | 38% |
| 볼린저 밴드 돌파 n=58, k=3 |
0.8% | -12.7% | 0.18 | 0.06 | 1.1x | 12 | 8% |
| MACD fast=24, slow=43, signal=14 |
-4.2% | -68.0% | 0.01 | -0.06 | 0.5x | 174 | 51% |
| Supertrend period=10, mult=5 |
-8.0% | -84.7% | -0.11 | -0.09 | 0.3x | 100 | 56% |
| ADX / DI 방향성 period=34, threshold=21 |
-0.6% | -17.9% | -0.13 | -0.03 | 0.9x | 12 | 5% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-10.0% | -85.5% | -0.20 | -0.12 | 0.2x | 132 | 58% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=3.9 |
-3.6% | -50.3% | -0.26 | -0.07 | 0.6x | 66 | 32% |
| Buy and hold | 3.7% | -44.8% | 0.29 | 0.08 | 1.7x | 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 50-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 50-day average falls below the 202-day average