Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Dividend ETF. 0 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 4.0%, MDD -16.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.2%, drawdown -58.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.0%, MDD -16.9%, Sharpe 0.44, 68% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.4%, MDD -34.3%, exposure 68%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 41.7%p (CAGR 4.0%, MDD -16.9%, exposure 68%).
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=100, exitN=139 |
4.0% | -16.9% | 0.44 | 0.24 | 2.3x | 15 | 68% |
| SMA 크로스오버 fast=58, slow=201 |
4.4% | -34.3% | 0.43 | 0.13 | 2.5x | 21 | 68% |
| ROC 모멘텀 n=188, threshold=-0.07 |
2.5% | -31.7% | 0.26 | 0.08 | 1.7x | 67 | 83% |
| EMA 크로스오버 fast=33, slow=172 |
2.1% | -37.3% | 0.25 | 0.06 | 1.6x | 29 | 73% |
| Supertrend period=16, mult=4.2 |
1.4% | -27.0% | 0.18 | 0.05 | 1.3x | 95 | 62% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
-0.0% | -4.8% | 0.01 | -0.00 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=41, threshold=21 |
-0.0% | -8.9% | -0.01 | -0.00 | 1.0x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=9, mult=2.1 |
-0.1% | -3.3% | -0.11 | -0.03 | 1.0x | 4 | 0% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.4% | -47.4% | -0.13 | -0.05 | 0.6x | 209 | 60% |
| MACD fast=12, slow=62, signal=22 |
-3.4% | -58.8% | -0.23 | -0.06 | 0.5x | 253 | 51% |
| Buy and hold | 5.2% | -58.6% | 0.36 | 0.09 | 2.9x | 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 100 days
- Sell — Sell when price breaks below the lowest low of the last 139 days