Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P 500 ESG ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P 500 ESG ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.9%, MDD -11.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.5%, drawdown -25.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -11.4%, Sharpe 1.13, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 13.9%p (CAGR 12.9%, MDD -11.4%, exposure 71%).
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=37, slow=166 |
12.9% | -11.4% | 1.13 | 1.12 | 2.1x | 5 | 71% |
| Donchian 채널 돌파 entryN=89, exitN=60 |
10.2% | -13.0% | 0.99 | 0.79 | 1.8x | 9 | 67% |
| EMA 크로스오버 fast=43, slow=121 |
11.2% | -18.7% | 0.98 | 0.60 | 1.9x | 7 | 74% |
| ROC 모멘텀 n=106, threshold=-0.02 |
10.7% | -16.3% | 0.92 | 0.66 | 1.8x | 21 | 77% |
| Supertrend period=15, mult=5 |
8.0% | -13.4% | 0.79 | 0.59 | 1.6x | 25 | 66% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=21, mult=3.9 |
6.7% | -12.8% | 0.77 | 0.52 | 1.5x | 18 | 54% |
| ADX / DI 방향성 period=19, threshold=23 |
1.3% | -7.7% | 0.28 | 0.17 | 1.1x | 22 | 18% |
| 볼린저 밴드 돌파 n=35, k=2.9 |
0.5% | -3.4% | 0.26 | 0.14 | 1.0x | 2 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
2.1% | -25.5% | 0.24 | 0.08 | 1.1x | 64 | 67% |
| MACD fast=19, slow=53, signal=19 |
-0.6% | -24.0% | -0.02 | -0.03 | 1.0x | 74 | 49% |
| Buy and hold | 15.5% | -25.4% | 0.94 | 0.61 | 2.4x | 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 37-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 37-day average falls below the 166-day average