Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio MSCI Global Stock Market ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio MSCI Global Stock Market ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.6%, MDD -18.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -34.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -18.5%, Sharpe 0.66, 75% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 15.5%p (CAGR 7.6%, MDD -18.5%, exposure 75%).
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=12, slow=206 |
7.6% | -18.5% | 0.66 | 0.41 | 2.9x | 25 | 75% |
| EMA 크로스오버 fast=44, slow=121 |
7.3% | -22.1% | 0.63 | 0.33 | 2.8x | 19 | 77% |
| ROC 모멘텀 n=127, threshold=-0.04 |
4.7% | -33.2% | 0.42 | 0.14 | 2.0x | 53 | 83% |
| Donchian 채널 돌파 entryN=62, exitN=46 |
2.8% | -27.0% | 0.32 | 0.10 | 1.5x | 31 | 55% |
| Supertrend period=28, mult=4.4 |
3.0% | -23.6% | 0.32 | 0.13 | 1.5x | 77 | 68% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=3.8 |
-0.0% | -23.4% | 0.04 | -0.00 | 1.0x | 51 | 36% |
| ADX / DI 방향성 period=34, threshold=25 |
0.0% | -8.2% | 0.02 | 0.00 | 1.0x | 6 | 3% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
0.0% | -2.2% | 0.02 | 0.01 | 1.0x | 2 | 1% |
| MACD fast=39, slow=56, signal=25 |
-1.0% | -32.8% | -0.05 | -0.03 | 0.9x | 119 | 54% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-5.7% | -61.0% | -0.48 | -0.09 | 0.4x | 273 | 60% |
| Buy and hold | 8.9% | -34.0% | 0.58 | 0.26 | 3.5x | 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 12-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 12-day average falls below the 206-day average