Trend-Following Backtester · Guide · backtest 한국어
equity · KR
RISE 미국S&P500 backtest
10 trend-following strategies were compared on the full daily history of RISE 미국S&P500. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.3%, MDD -9.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.8%, drawdown -19.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.3%, MDD -9.8%, Sharpe 1.42, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 9.8%p (CAGR 14.3%, MDD -9.8%, exposure 67%).
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=11, slow=31 |
14.3% | -9.8% | 1.42 | 1.46 | 2.0x | 32 | 67% |
| Donchian 채널 돌파 entryN=18, exitN=18 |
11.7% | -13.4% | 1.19 | 0.87 | 1.8x | 28 | 65% |
| Parabolic SAR step=0.02, maxStep=0.02 |
13.1% | -17.2% | 1.18 | 0.76 | 1.9x | 24 | 74% |
| MACD fast=19, slow=42, signal=16 |
10.3% | -16.1% | 1.17 | 0.64 | 1.7x | 40 | 47% |
| 볼린저 밴드 돌파 n=34, k=2.3 |
8.3% | -8.8% | 1.16 | 0.94 | 1.5x | 18 | 37% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=2.3 |
10.5% | -15.3% | 1.11 | 0.68 | 1.7x | 22 | 61% |
| ADX / DI 방향성 period=18, threshold=18 |
9.2% | -13.5% | 1.05 | 0.68 | 1.6x | 42 | 53% |
| ROC 모멘텀 n=24, threshold=-0.03 |
12.2% | -21.0% | 1.04 | 0.58 | 1.8x | 48 | 83% |
| EMA 크로스오버 fast=22, slow=36 |
10.3% | -20.6% | 0.96 | 0.50 | 1.7x | 22 | 72% |
| Supertrend period=16, mult=3.4 |
8.7% | -18.3% | 0.85 | 0.48 | 1.6x | 42 | 68% |
| Buy and hold | 16.8% | -19.6% | 1.10 | 0.86 | 2.3x | 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 11-day average price crosses above the 31-day average
- Sell — Sell (to cash) when the 11-day average falls below the 31-day average