Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Global Infrastructure ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Global Infrastructure ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.8%, MDD -29.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.1%, drawdown -53.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.8%, MDD -29.3%, Sharpe 0.26, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 2.8%, MDD -29.3%, exposure 89%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=139 |
2.8% | -29.3% | 0.26 | 0.09 | 1.7x | 29 | 89% |
| ADX / DI 방향성 period=29, threshold=36 |
0.1% | -2.5% | 0.18 | 0.04 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
0.2% | -3.5% | 0.17 | 0.05 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=43, slow=171 |
1.3% | -41.8% | 0.17 | 0.03 | 1.3x | 29 | 60% |
| EMA 크로스오버 fast=63, slow=69 |
0.2% | -36.5% | 0.07 | 0.00 | 1.0x | 43 | 62% |
| Supertrend period=21, mult=4.2 |
-1.3% | -44.3% | -0.03 | -0.03 | 0.8x | 102 | 59% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=12, mult=3.6 |
-0.6% | -23.1% | -0.13 | -0.03 | 0.9x | 30 | 9% |
| ROC 모멘텀 n=49, threshold=-0.04 |
-2.8% | -63.0% | -0.15 | -0.04 | 0.6x | 181 | 82% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.9% | -52.3% | -0.17 | -0.05 | 0.6x | 175 | 62% |
| MACD fast=19, slow=46, signal=18 |
-4.1% | -61.3% | -0.29 | -0.07 | 0.4x | 217 | 51% |
| Buy and hold | 2.1% | -53.6% | 0.20 | 0.04 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 139 days