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. 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 2.1%, MDD -10.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.2%, drawdown -46.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.1%, MDD -10.1%, Sharpe 0.43, 23% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 36.1%p (CAGR 2.1%, MDD -10.1%, exposure 23%).
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=118, exitN=24 |
2.1% | -10.1% | 0.43 | 0.21 | 1.4x | 20 | 23% |
| 볼린저 밴드 돌파 n=67, k=3 |
1.2% | -7.6% | 0.35 | 0.15 | 1.2x | 6 | 7% |
| ROC 모멘텀 n=137, threshold=0.22 |
0.3% | -4.0% | 0.25 | 0.09 | 1.1x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=4 |
1.0% | -12.6% | 0.23 | 0.08 | 1.2x | 26 | 22% |
| SMA 크로스오버 fast=63, slow=235 |
1.5% | -20.3% | 0.22 | 0.07 | 1.2x | 19 | 48% |
| EMA 크로스오버 fast=77, slow=205 |
1.1% | -22.3% | 0.17 | 0.05 | 1.2x | 15 | 50% |
| ADX / DI 방향성 period=33, threshold=28 |
0.2% | -5.3% | 0.14 | 0.03 | 1.0x | 2 | 2% |
| Supertrend period=27, mult=5 |
-0.6% | -43.6% | -0.02 | -0.01 | 0.9x | 58 | 61% |
| MACD fast=30, slow=56, signal=30 |
-1.4% | -35.6% | -0.14 | -0.04 | 0.8x | 100 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.9% | -47.0% | -0.27 | -0.06 | 0.7x | 130 | 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 118 days
- Sell — Sell when price breaks below the lowest low of the last 24 days