Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio High Yield Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio 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 ROC 모멘텀 (CAGR 0.2%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.7%, drawdown -23.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -0.5%, Sharpe 0.41, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 0.2%, 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=78, threshold=0.11 |
0.2% | -0.5% | 0.41 | 0.38 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=49, exitN=76 |
-0.1% | -8.0% | -0.00 | -0.02 | 1.0x | 20 | 59% |
| ADX / DI 방향성 period=37, threshold=34 |
-0.0% | -1.5% | -0.06 | -0.01 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=11, slow=251 |
-0.4% | -8.0% | -0.07 | -0.05 | 0.9x | 22 | 52% |
| EMA 크로스오버 fast=39, slow=171 |
-0.5% | -10.6% | -0.10 | -0.05 | 0.9x | 16 | 53% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=12, mult=4 |
-0.2% | -4.1% | -0.13 | -0.04 | 1.0x | 4 | 2% |
| 볼린저 밴드 돌파 n=23, k=3.1 |
-0.3% | -4.5% | -0.24 | -0.06 | 1.0x | 6 | 1% |
| Supertrend period=20, mult=4.1 |
-1.6% | -25.3% | -0.31 | -0.06 | 0.8x | 45 | 55% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.9% | -51.7% | -0.91 | -0.09 | 0.5x | 124 | 52% |
| MACD fast=24, slow=45, signal=30 |
-5.1% | -52.5% | -1.06 | -0.10 | 0.5x | 124 | 47% |
| Buy and hold | -0.7% | -23.3% | -0.04 | -0.03 | 0.9x | 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 78-day return is greater than 11%
- Sell — Sell when the 78-day return drops to 11% or below