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State Street SPDR Bloomberg 1-3 Month T-Bill ETF backtest

10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg 1-3 Month T-Bill ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 2007-05-30 ~ 2026-07-31daily bars 4,824 (19.2 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR -0.0%, drawdown -1.4%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD 0.0%, Sharpe 0.00, 0% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=126, threshold=0.04
0.0%0.0%0.000.001.0x00%
ADX / DI 방향성
period=59, threshold=35
-0.1%-2.3%-0.21-0.041.0x414%
볼린저 밴드 돌파
n=25, k=3.4
-0.1%-1.6%-0.38-0.051.0x20%
Keltner 채널 돌파
emaPeriod=12, atrPeriod=26, mult=3.3
-0.1%-1.6%-0.38-0.051.0x20%
EMA 크로스오버
fast=124, slow=322
-0.6%-11.1%-0.72-0.050.9x2039%
Donchian 채널 돌파
entryN=152, exitN=188
-0.5%-9.3%-0.78-0.050.9x1629%
SMA 크로스오버
fast=65, slow=214
-0.9%-16.4%-1.03-0.060.8x3240%
Parabolic SAR
step=0.005, maxStep=0.16
-3.8%-52.0%-2.67-0.070.5x12534%
Supertrend
period=25, mult=4.9
-4.1%-54.8%-2.90-0.070.5x13320%
MACD
fast=19, slow=59, signal=24
-12.2%-91.8%-5.36-0.130.1x46749%
Buy and hold-0.0%-1.4%-0.02-0.021.0x1100%
1x 2008 2011 2014 2017 2020 2023 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -1% -3% -4% -5% 2008 2011 2014 2017 2020 2023 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown 0.0% (2007-05-30 → 2007-05-30), recovered after 1 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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