Trend-Following Backtester · Guide · backtest 한국어
etf · DE
SSgA SPDR ETFs Europe II PLC - State Street SPDR MSCI USA Small Cap Value Weighted UCITS ETF Accum Ptg USD backtest
10 trend-following strategies were compared on the full daily history of SSgA SPDR ETFs Europe II PLC - State Street SPDR MSCI USA Small Cap Value Weighted UCITS ETF Accum Ptg USD. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.7%, MDD -29.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.5%, drawdown -46.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.5%, MDD -32.4%, Sharpe 0.62, 97% 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 2.9%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 8.7%, MDD -29.4%, exposure 83%).
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 97% n=8, threshold=-0.07 |
11.5% | -32.4% | 0.62 | 0.35 | 3.5x | 45 | 97% |
| 볼린저 밴드 돌파 n=55, k=3.2 |
3.4% | -9.1% | 0.54 | 0.38 | 1.5x | 8 | 11% |
| Donchian 채널 돌파 entryN=18, exitN=54 |
8.7% | -29.4% | 0.54 | 0.30 | 2.6x | 34 | 83% |
| SMA 크로스오버 fast=23, slow=56 |
6.2% | -34.8% | 0.46 | 0.18 | 2.0x | 52 | 61% |
| Supertrend period=7, mult=5 |
5.4% | -23.8% | 0.42 | 0.23 | 1.9x | 54 | 55% |
| EMA 크로스오버 fast=11, slow=42 |
5.2% | -26.9% | 0.41 | 0.19 | 1.8x | 70 | 64% |
| ADX / DI 방향성 period=35, threshold=29 |
0.9% | -6.1% | 0.30 | 0.14 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=1.3 |
1.7% | -34.7% | 0.19 | 0.05 | 1.2x | 94 | 55% |
| MACD fast=19, slow=42, signal=15 |
-0.7% | -35.2% | 0.03 | -0.02 | 0.9x | 138 | 49% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.1% | -36.5% | -0.05 | -0.06 | 0.8x | 204 | 57% |
| Buy and hold | 8.5% | -46.0% | 0.47 | 0.19 | 2.6x | 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 8-day return is greater than -7%
- Sell — Sell when the 8-day return drops to -7% or below