Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P 600 Small Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P 600 Small Cap Value ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.1%, MDD -37.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -63.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.3%, MDD -60.5%, Sharpe 0.44, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 2.6%p (CAGR 6.1%, MDD -37.1%, exposure 85%).
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 Hold-like · Exposure 99% n=8, threshold=-0.1 |
7.3% | -60.5% | 0.44 | 0.12 | 6.2x | 49 | 99% |
| Donchian 채널 돌파 entryN=38, exitN=129 |
6.1% | -37.1% | 0.43 | 0.16 | 4.6x | 31 | 85% |
| EMA 크로스오버 fast=54, slow=215 |
4.7% | -33.8% | 0.39 | 0.14 | 3.3x | 27 | 67% |
| SMA 크로스오버 fast=18, slow=218 |
3.6% | -35.5% | 0.32 | 0.10 | 2.5x | 47 | 64% |
| Supertrend period=29, mult=5 |
3.4% | -42.6% | 0.30 | 0.08 | 2.4x | 109 | 63% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=2.8 |
1.0% | -45.3% | 0.15 | 0.02 | 1.3x | 109 | 40% |
| 볼린저 밴드 돌파 n=26, k=3.2 |
0.5% | -22.9% | 0.14 | 0.02 | 1.1x | 12 | 3% |
| ADX / DI 방향성 period=30, threshold=22 |
0.1% | -22.6% | 0.04 | 0.00 | 1.0x | 38 | 5% |
| MACD fast=14, slow=28, signal=19 |
-0.8% | -54.9% | 0.02 | -0.01 | 0.8x | 354 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.1% | -76.2% | -0.13 | -0.04 | 0.4x | 238 | 57% |
| Buy and hold | 7.3% | -63.1% | 0.42 | 0.12 | 6.1x | 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 8-day return is greater than -10%
- Sell — Sell when the 8-day return drops to -10% or below