Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Insurance ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Insurance ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.2%, MDD -23.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.3%, drawdown -76.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -32.5%, Sharpe 0.49, 75% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 6.2%, MDD -23.6%, exposure 72%).
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=74, exitN=99 |
6.6% | -32.5% | 0.49 | 0.20 | 3.8x | 21 | 75% |
| EMA 크로스오버 fast=47, slow=152 |
6.2% | -23.6% | 0.49 | 0.27 | 3.5x | 25 | 72% |
| SMA 크로스오버 fast=27, slow=172 |
5.8% | -31.9% | 0.45 | 0.18 | 3.2x | 31 | 70% |
| ROC 모멘텀 n=131, threshold=-0.08 |
6.2% | -39.8% | 0.44 | 0.16 | 3.5x | 57 | 84% |
| Supertrend period=24, mult=5 |
4.8% | -28.8% | 0.39 | 0.17 | 2.7x | 69 | 61% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
0.3% | -4.5% | 0.30 | 0.08 | 1.1x | 2 | 2% |
| ADX / DI 방향성 period=19, threshold=39 |
0.2% | -2.9% | 0.23 | 0.07 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=17, mult=3.5 |
-0.5% | -39.3% | -0.01 | -0.01 | 0.9x | 65 | 25% |
| MACD fast=18, slow=23, signal=13 |
-3.3% | -62.0% | -0.11 | -0.05 | 0.5x | 316 | 51% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-4.6% | -64.0% | -0.20 | -0.07 | 0.4x | 322 | 58% |
| Buy and hold | 6.3% | -76.2% | 0.36 | 0.08 | 3.6x | 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 74 days
- Sell — Sell when price breaks below the lowest low of the last 99 days