Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Fixed Income Sector Rotation ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Fixed Income Sector Rotation ETF. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.2%, MDD -1.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.4%, drawdown -25.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR -0.1%, MDD -4.8%, Sharpe -0.07, 8% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 21.1%p (CAGR -0.2%, MDD -1.3%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=18, mult=3.6 |
-0.1% | -4.8% | -0.07 | -0.03 | 1.0x | 8 | 8% |
| ADX / DI 방향성 period=46, threshold=25 |
-0.3% | -6.5% | -0.11 | -0.05 | 1.0x | 4 | 10% |
| 볼린저 밴드 돌파 n=34, k=2.7 |
-0.3% | -5.6% | -0.23 | -0.06 | 1.0x | 10 | 9% |
| EMA 크로스오버 fast=68, slow=197 |
-0.9% | -10.1% | -0.24 | -0.09 | 0.9x | 8 | 31% |
| Donchian 채널 돌파 entryN=97, exitN=17 |
-0.4% | -3.7% | -0.25 | -0.10 | 1.0x | 8 | 9% |
| SMA 크로스오버 fast=38, slow=272 |
-1.1% | -11.2% | -0.42 | -0.10 | 0.9x | 10 | 29% |
| ROC 모멘텀 n=111, threshold=0.08 |
-0.2% | -1.3% | -0.45 | -0.14 | 1.0x | 2 | 0% |
| Supertrend period=24, mult=4.3 |
-2.3% | -19.0% | -0.59 | -0.12 | 0.8x | 34 | 45% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.7% | -31.4% | -1.06 | -0.15 | 0.7x | 64 | 46% |
| MACD fast=13, slow=55, signal=18 |
-5.8% | -36.0% | -1.34 | -0.16 | 0.6x | 80 | 47% |
| Buy and hold | -2.4% | -25.9% | -0.35 | -0.09 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 33-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 33-day average