Trend-Following Backtester · Guide · backtest 한국어
etf · DE
State Street SPDR RUSSELL 2000 U.S. SMALL CAP UCITS ETF Accum Ptg USD backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR RUSSELL 2000 U.S. SMALL CAP UCITS ETF Accum Ptg 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.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -41.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.4%, MDD -35.6%, Sharpe 0.62, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.12 |
11.4% | -35.6% | 0.62 | 0.32 | 3.5x | 13 | 99% |
| Donchian 채널 돌파 entryN=39, exitN=47 |
7.7% | -34.9% | 0.55 | 0.22 | 2.4x | 29 | 69% |
| Supertrend period=26, mult=3.2 |
5.8% | -28.9% | 0.43 | 0.20 | 1.9x | 103 | 65% |
| Parabolic SAR step=0.005, maxStep=0.34 |
4.9% | -22.8% | 0.40 | 0.21 | 1.8x | 98 | 57% |
| EMA 크로스오버 fast=50, slow=51 |
4.4% | -34.6% | 0.35 | 0.13 | 1.7x | 31 | 68% |
| MACD fast=24, slow=63, signal=22 |
3.5% | -23.3% | 0.31 | 0.15 | 1.5x | 98 | 48% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=14, mult=3.4 |
1.1% | -13.3% | 0.27 | 0.08 | 1.1x | 22 | 7% |
| 볼린저 밴드 돌파 n=17, k=3.2 |
0.5% | -4.6% | 0.20 | 0.10 | 1.1x | 4 | 1% |
| SMA 크로스오버 fast=9, slow=158 |
1.9% | -33.8% | 0.20 | 0.06 | 1.2x | 37 | 63% |
| ADX / DI 방향성 period=23, threshold=37 |
0.0% | -4.2% | 0.02 | 0.00 | 1.0x | 2 | 1% |
| Buy and hold | 9.9% | -41.2% | 0.54 | 0.24 | 3.0x | 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 10-day return is greater than -12%
- Sell — Sell when the 10-day return drops to -12% or below