Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P 400 Mid Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P 400 Mid Cap Value ETF. 2 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 6.2%, MDD -44.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.1%, drawdown -62.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.2%, MDD -44.0%, Sharpe 0.45, 87% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.0%, MDD -48.6%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 6.2%, MDD -44.0%, exposure 87%).
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=28, exitN=112 |
6.2% | -44.0% | 0.45 | 0.14 | 3.5x | 29 | 87% |
| ROC 모멘텀 Hold-like · Exposure 98% n=11, threshold=-0.1 |
7.0% | -48.6% | 0.45 | 0.14 | 4.1x | 43 | 98% |
| EMA 크로스오버 fast=33, slow=180 |
4.2% | -41.6% | 0.37 | 0.10 | 2.3x | 31 | 69% |
| SMA 크로스오버 fast=53, slow=86 |
4.0% | -34.3% | 0.36 | 0.12 | 2.3x | 63 | 64% |
| 볼린저 밴드 돌파 n=49, k=2.8 |
1.0% | -14.4% | 0.25 | 0.07 | 1.2x | 14 | 8% |
| Supertrend period=35, mult=4.9 |
2.1% | -40.7% | 0.21 | 0.05 | 1.5x | 110 | 67% |
| ADX / DI 방향성 period=31, threshold=34 |
0.1% | -0.5% | 0.14 | 0.11 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.8% | -42.1% | 0.02 | -0.02 | 0.9x | 188 | 61% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=13, mult=1.9 |
-0.9% | -46.9% | -0.02 | -0.02 | 0.8x | 162 | 50% |
| MACD fast=15, slow=20, signal=19 |
-2.1% | -53.2% | -0.08 | -0.04 | 0.6x | 312 | 50% |
| Buy and hold | 6.1% | -62.6% | 0.38 | 0.10 | 3.4x | 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 28 days
- Sell — Sell when price breaks below the lowest low of the last 112 days