Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Bloomberg Short Term High Yield Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg Short Term High Yield Bond ETF. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.3%, drawdown -30.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -2.8%, Sharpe 0.12, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR -0.0%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=13, threshold=0.07 |
0.2% | -2.8% | 0.12 | 0.06 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=22, k=2.7 |
0.0% | -3.4% | 0.04 | 0.01 | 1.0x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=12, mult=4 |
0.0% | -1.6% | 0.01 | 0.00 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=34, threshold=34 |
-0.0% | -0.5% | -0.02 | -0.01 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=62, exitN=105 |
-0.5% | -13.3% | -0.14 | -0.04 | 0.9x | 20 | 60% |
| SMA 크로스오버 fast=59, slow=186 |
-0.6% | -9.9% | -0.18 | -0.06 | 0.9x | 20 | 46% |
| EMA 크로스오버 fast=58, slow=163 |
-0.6% | -10.9% | -0.22 | -0.06 | 0.9x | 20 | 44% |
| Supertrend period=21, mult=5 |
-2.1% | -27.2% | -0.63 | -0.08 | 0.7x | 50 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-5.0% | -52.5% | -1.26 | -0.09 | 0.5x | 126 | 53% |
| MACD fast=17, slow=27, signal=19 |
-7.8% | -69.2% | -1.93 | -0.11 | 0.3x | 212 | 48% |
| Buy and hold | -1.3% | -30.6% | -0.19 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than 7%
- Sell — Sell when the 13-day return drops to 7% or below