Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Bloomberg Convertible Securities ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg Convertible Securities ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -32.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.9%, MDD -22.8%, Sharpe 0.55, 70% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.5%, MDD -26.8%, exposure 89%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=16, slow=96 |
4.9% | -22.8% | 0.55 | 0.22 | 2.3x | 47 | 70% |
| Donchian 채널 돌파 entryN=47, exitN=75 |
4.9% | -28.6% | 0.53 | 0.17 | 2.3x | 29 | 72% |
| ROC 모멘텀 n=116, threshold=-0.08 |
5.5% | -26.8% | 0.52 | 0.20 | 2.5x | 29 | 89% |
| Supertrend period=29, mult=4.5 |
4.3% | -24.5% | 0.52 | 0.17 | 2.1x | 66 | 62% |
| SMA 크로스오버 fast=48, slow=172 |
3.9% | -32.2% | 0.41 | 0.12 | 1.9x | 21 | 69% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=3.6 |
1.8% | -23.4% | 0.29 | 0.08 | 1.4x | 58 | 36% |
| 볼린저 밴드 돌파 n=59, k=1 |
1.4% | -29.9% | 0.21 | 0.05 | 1.3x | 114 | 54% |
| ADX / DI 방향성 period=21, threshold=23 |
-0.1% | -17.8% | 0.00 | -0.00 | 1.0x | 60 | 13% |
| MACD fast=22, slow=31, signal=24 |
-1.2% | -43.0% | -0.11 | -0.03 | 0.8x | 186 | 52% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-2.9% | -56.2% | -0.29 | -0.05 | 0.6x | 344 | 59% |
| Buy and hold | 7.2% | -32.2% | 0.59 | 0.22 | 3.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 16-day EMA crosses above the 96-day EMA
- Sell — Sell when the 16-day EMA falls below the 96-day EMA