Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Bloomberg Investment Grade Floating Rate ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg Investment Grade Floating Rate ETF. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.1%, drawdown -20.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.0%, MDD -7.5%, Sharpe 0.02, 1% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=12, mult=3.3 |
0.0% | -7.5% | 0.02 | 0.00 | 1.0x | 2 | 1% |
| ROC 모멘텀 Hold-like · Exposure 96% n=136, threshold=-0.13 |
-0.1% | -16.2% | 0.00 | -0.00 | 1.0x | 3 | 96% |
| Donchian 채널 돌파 Hold-like · Exposure 96% entryN=6, exitN=181 |
-0.2% | -11.0% | -0.03 | -0.02 | 1.0x | 19 | 96% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
-0.3% | -11.2% | -0.07 | -0.02 | 1.0x | 10 | 2% |
| ADX / DI 방향성 period=38, threshold=36 |
-0.1% | -3.3% | -0.10 | -0.04 | 1.0x | 4 | 6% |
| Supertrend period=18, mult=5 |
-1.0% | -21.1% | -0.29 | -0.05 | 0.9x | 33 | 55% |
| EMA 크로스오버 fast=51, slow=180 |
-0.8% | -12.6% | -0.38 | -0.06 | 0.9x | 19 | 65% |
| SMA 크로스오버 fast=26, slow=278 |
-1.0% | -14.9% | -0.57 | -0.07 | 0.9x | 21 | 61% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.8% | -48.2% | -1.10 | -0.08 | 0.6x | 105 | 50% |
| MACD fast=24, slow=40, signal=21 |
-7.8% | -69.9% | -3.23 | -0.11 | 0.3x | 213 | 47% |
| Buy and hold | 0.1% | -20.2% | 0.05 | 0.01 | 1.0x | 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 11-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average