Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P 600 Small Cap Growth ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P 600 Small Cap Growth ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.9%, MDD -34.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.2%, drawdown -62.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -40.9%, Sharpe 0.49, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.8%, MDD -43.2%, exposure 85%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 5.9%, MDD -34.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=18, slow=318 |
6.4% | -40.9% | 0.49 | 0.16 | 4.9x | 35 | 67% |
| EMA 크로스오버 fast=17, slow=202 |
5.9% | -34.0% | 0.47 | 0.17 | 4.4x | 49 | 68% |
| Donchian 채널 돌파 entryN=29, exitN=100 |
6.8% | -43.2% | 0.45 | 0.16 | 5.5x | 37 | 85% |
| Supertrend period=21, mult=4.6 |
5.2% | -31.8% | 0.41 | 0.16 | 3.7x | 109 | 62% |
| ROC 모멘텀 n=77, threshold=-0.04 |
3.6% | -46.5% | 0.30 | 0.08 | 2.5x | 197 | 77% |
| ADX / DI 방향성 period=32, threshold=18 |
0.7% | -17.0% | 0.15 | 0.04 | 1.2x | 50 | 11% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=1.4 |
-0.1% | -54.7% | 0.06 | -0.00 | 1.0x | 217 | 55% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
-0.3% | -63.6% | 0.04 | -0.00 | 0.9x | 163 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.7% | -55.8% | -0.04 | -0.03 | 0.6x | 248 | 59% |
| MACD fast=9, slow=48, signal=9 |
-2.6% | -58.3% | -0.10 | -0.04 | 0.5x | 492 | 51% |
| Buy and hold | 6.2% | -62.3% | 0.37 | 0.10 | 4.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 18-day average price crosses above the 318-day average
- Sell — Sell (to cash) when the 18-day average falls below the 318-day average