Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Multi-Asset Real Return ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Multi-Asset Real Return ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.2%, MDD -9.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.2%, drawdown -46.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.9%, MDD -15.7%, Sharpe 0.37, 23% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 1.2%, MDD -9.3%, exposure 7%).
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=119, exitN=29 |
1.9% | -15.7% | 0.37 | 0.12 | 1.3x | 18 | 23% |
| 볼린저 밴드 돌파 n=88, k=3.3 |
1.2% | -9.3% | 0.36 | 0.13 | 1.2x | 4 | 7% |
| EMA 크로스오버 fast=83, slow=281 |
1.2% | -21.8% | 0.18 | 0.06 | 1.2x | 13 | 47% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=24, mult=4 |
0.7% | -17.2% | 0.15 | 0.04 | 1.1x | 26 | 22% |
| ADX / DI 방향성 period=30, threshold=28 |
0.2% | -5.3% | 0.13 | 0.03 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=130, threshold=0.12 |
0.4% | -13.1% | 0.11 | 0.03 | 1.1x | 34 | 10% |
| SMA 크로스오버 fast=43, slow=52 |
-0.1% | -30.1% | 0.03 | -0.00 | 1.0x | 92 | 56% |
| MACD fast=35, slow=37, signal=31 |
-1.1% | -34.4% | -0.09 | -0.03 | 0.9x | 103 | 50% |
| Supertrend period=24, mult=5 |
-1.2% | -43.2% | -0.09 | -0.03 | 0.8x | 59 | 59% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.1% | -47.0% | -0.30 | -0.07 | 0.6x | 129 | 57% |
| Buy and hold | 1.2% | -46.2% | 0.16 | 0.03 | 1.2x | 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 119 days
- Sell — Sell when price breaks below the lowest low of the last 29 days