Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR MSCI EAFE StrategicFactors ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR MSCI EAFE StrategicFactors ETF. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.4%, MDD -17.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.2%, drawdown -32.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -3.8%, Sharpe 0.51, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.7%, MDD -19.8%, exposure 67%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 28.9%p (CAGR 4.4%, MDD -17.1%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=27 |
1.0% | -3.8% | 0.51 | 0.27 | 1.1x | 2 | 6% |
| Donchian 채널 돌파 entryN=49, exitN=75 |
4.7% | -19.8% | 0.48 | 0.24 | 1.7x | 17 | 67% |
| SMA 크로스오버 fast=28, slow=115 |
4.4% | -17.1% | 0.46 | 0.26 | 1.7x | 25 | 61% |
| EMA 크로스오버 fast=38, slow=108 |
4.0% | -17.0% | 0.42 | 0.23 | 1.6x | 21 | 64% |
| ROC 모멘텀 n=103, threshold=-0.03 |
2.0% | -30.5% | 0.23 | 0.07 | 1.3x | 77 | 73% |
| 볼린저 밴드 돌파 n=20, k=3.1 |
0.4% | -4.0% | 0.19 | 0.10 | 1.0x | 9 | 4% |
| Supertrend period=14, mult=4.9 |
-0.1% | -23.6% | 0.04 | -0.01 | 1.0x | 61 | 61% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=13, mult=3.2 |
-0.4% | -18.5% | -0.01 | -0.02 | 1.0x | 45 | 43% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-2.9% | -45.0% | -0.24 | -0.06 | 0.7x | 153 | 58% |
| MACD fast=9, slow=49, signal=13 |
-4.7% | -49.6% | -0.47 | -0.10 | 0.6x | 205 | 50% |
| Buy and hold | 4.2% | -32.7% | 0.34 | 0.13 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)