Trend-Following Backtester · Guide · backtest 한국어
etf · DE
SSgA SPDR ETFs Europe II PLC - State Street SPDR MSCI Europe Small Cap Value Weighted UCITS ETF Accum Ptg EUR backtest
10 trend-following strategies were compared on the full daily history of SSgA SPDR ETFs Europe II PLC - State Street SPDR MSCI Europe Small Cap Value Weighted UCITS ETF Accum Ptg EUR. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -43.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.4%, MDD -4.2%, Sharpe 0.81, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.5%, MDD -31.9%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=3.1 |
3.4% | -4.2% | 0.81 | 0.80 | 1.5x | 4 | 9% |
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.1 |
9.5% | -31.9% | 0.62 | 0.30 | 2.9x | 15 | 99% |
| SMA 크로스오버 fast=28, slow=168 |
4.2% | -41.2% | 0.37 | 0.10 | 1.6x | 19 | 66% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=35, mult=3.6 |
0.8% | -4.0% | 0.37 | 0.19 | 1.1x | 6 | 2% |
| Donchian 채널 돌파 entryN=106, exitN=78 |
3.3% | -20.0% | 0.36 | 0.17 | 1.5x | 15 | 57% |
| EMA 크로스오버 fast=28, slow=178 |
3.3% | -28.3% | 0.32 | 0.12 | 1.5x | 21 | 66% |
| Supertrend period=29, mult=4.3 |
3.0% | -26.0% | 0.30 | 0.11 | 1.4x | 73 | 59% |
| ADX / DI 방향성 period=26, threshold=14 |
0.5% | -28.2% | 0.10 | 0.02 | 1.1x | 84 | 34% |
| MACD fast=15, slow=34, signal=12 |
-0.2% | -33.5% | 0.03 | -0.01 | 1.0x | 178 | 49% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-1.9% | -35.8% | -0.11 | -0.05 | 0.8x | 170 | 56% |
| Buy and hold | 7.3% | -43.9% | 0.48 | 0.17 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 54-day middle average