Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Global Natural Resources ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Global Natural Resources ETF. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.0%, MDD -11.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.3%, drawdown -60.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -11.4%, Sharpe 0.48, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 3.0%, MDD -11.4%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=76, k=2.6 |
3.0% | -11.4% | 0.48 | 0.26 | 1.6x | 12 | 15% |
| SMA 크로스오버 fast=73, slow=249 |
2.4% | -33.6% | 0.26 | 0.07 | 1.5x | 17 | 47% |
| Donchian 채널 돌파 entryN=71, exitN=50 |
0.3% | -33.9% | 0.08 | 0.01 | 1.0x | 34 | 46% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=27, mult=4 |
0.1% | -32.3% | 0.06 | 0.00 | 1.0x | 36 | 25% |
| Supertrend period=14, mult=4.9 |
-0.9% | -46.7% | -0.01 | -0.02 | 0.9x | 69 | 54% |
| EMA 크로스오버 fast=47, slow=71 |
-0.9% | -46.6% | -0.01 | -0.02 | 0.9x | 42 | 55% |
| ADX / DI 방향성 period=39, threshold=17 |
-0.4% | -20.5% | -0.08 | -0.02 | 0.9x | 24 | 5% |
| ROC 모멘텀 n=125, threshold=0.18 |
-0.7% | -26.1% | -0.09 | -0.03 | 0.9x | 68 | 10% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.4% | -52.1% | -0.18 | -0.07 | 0.6x | 139 | 54% |
| MACD fast=13, slow=46, signal=11 |
-3.3% | -53.6% | -0.19 | -0.06 | 0.6x | 245 | 49% |
| Buy and hold | 2.3% | -60.6% | 0.21 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 76-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 76-day middle average