Trend-Following Backtester · Guide · backtest 한국어
etf · DE
SSgA SPDR ETFs Europe II Plc - S&P US Technology Select Sector backtest
10 trend-following strategies were compared on the full daily history of SSgA SPDR ETFs Europe II Plc - S&P US Technology Select Sector. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.0%, drawdown -31.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.0%, MDD -33.3%, Sharpe 0.94, 88% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=71 |
18.0% | -33.3% | 0.94 | 0.54 | 6.2x | 17 | 88% |
| ROC 모멘텀 n=129, threshold=-0.13 |
17.6% | -39.6% | 0.87 | 0.44 | 6.0x | 17 | 94% |
| EMA 크로스오버 fast=44, slow=188 |
16.2% | -31.5% | 0.87 | 0.51 | 5.2x | 11 | 82% |
| SMA 크로스오버 fast=19, slow=254 |
15.8% | -31.5% | 0.86 | 0.50 | 5.1x | 11 | 80% |
| Supertrend period=27, mult=4.8 |
12.5% | -22.3% | 0.84 | 0.56 | 3.7x | 54 | 63% |
| 볼린저 밴드 돌파 n=76, k=0.4 |
10.6% | -21.4% | 0.71 | 0.50 | 3.1x | 74 | 68% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=1.3 |
10.0% | -18.0% | 0.70 | 0.55 | 2.9x | 82 | 64% |
| Parabolic SAR step=0.005, maxStep=0.16 |
9.2% | -21.0% | 0.64 | 0.44 | 2.6x | 102 | 61% |
| MACD fast=19, slow=25, signal=18 |
5.7% | -37.5% | 0.46 | 0.15 | 1.9x | 146 | 51% |
| ADX / DI 방향성 period=10, threshold=37 |
1.4% | -14.3% | 0.25 | 0.10 | 1.2x | 52 | 12% |
| Buy and hold | 20.0% | -31.5% | 0.91 | 0.64 | 7.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 71 days