Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Corporate Bond ETF. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -1.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.4%, drawdown -26.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -2.8%, Sharpe 0.22, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR -0.1%, MDD -1.2%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=39 |
0.2% | -2.8% | 0.22 | 0.06 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=23, k=3.1 |
0.1% | -2.0% | 0.16 | 0.06 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=13, mult=3.9 |
-0.1% | -5.0% | -0.04 | -0.01 | 1.0x | 12 | 6% |
| SMA 크로스오버 fast=47, slow=137 |
-0.8% | -20.0% | -0.11 | -0.04 | 0.9x | 26 | 51% |
| Supertrend period=23, mult=4.5 |
-0.7% | -15.7% | -0.12 | -0.04 | 0.9x | 50 | 53% |
| Donchian 채널 돌파 entryN=53, exitN=74 |
-0.7% | -19.7% | -0.12 | -0.03 | 0.9x | 26 | 51% |
| ROC 모멘텀 n=109, threshold=0.09 |
-0.1% | -1.2% | -0.17 | -0.06 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=35, slow=163 |
-1.3% | -27.6% | -0.24 | -0.05 | 0.8x | 20 | 51% |
| MACD fast=31, slow=70, signal=29 |
-3.3% | -40.9% | -0.70 | -0.08 | 0.6x | 100 | 48% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.9% | -47.3% | -0.85 | -0.08 | 0.5x | 120 | 50% |
| Buy and hold | -0.4% | -26.4% | -0.02 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 47-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)