Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Dow Jones Industrial Average ETF Trust backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Dow Jones Industrial Average ETF Trust. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -53.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.7%, MDD -53.8%, Sharpe 0.44, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
6.7% | -53.8% | 0.44 | 0.12 | 6.3x | 3 | 100% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
0.3% | -3.2% | 0.41 | 0.10 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=19, slow=210 |
4.0% | -37.8% | 0.40 | 0.10 | 3.0x | 55 | 71% |
| Donchian 채널 돌파 entryN=17, exitN=61 |
3.9% | -46.5% | 0.35 | 0.08 | 3.0x | 85 | 84% |
| EMA 크로스오버 fast=32, slow=194 |
2.7% | -44.5% | 0.28 | 0.06 | 2.1x | 49 | 74% |
| ADX / DI 방향성 period=28, threshold=20 |
0.7% | -14.4% | 0.22 | 0.05 | 1.2x | 40 | 10% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=14, mult=4 |
0.2% | -5.6% | 0.16 | 0.03 | 1.0x | 8 | 2% |
| Supertrend period=18, mult=5 |
1.1% | -35.2% | 0.15 | 0.03 | 1.4x | 111 | 63% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.6% | -68.2% | -0.18 | -0.04 | 0.5x | 294 | 61% |
| MACD fast=12, slow=31, signal=16 |
-3.1% | -63.0% | -0.23 | -0.05 | 0.4x | 440 | 51% |
| Buy and hold | 6.8% | -53.8% | 0.45 | 0.13 | 6.6x | 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 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below