Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Intermediate Term Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Intermediate Term Corporate Bond ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.4%, drawdown -17.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.3%, MDD -1.5%, Sharpe 0.47, 4% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=3.5 |
0.3% | -1.5% | 0.47 | 0.18 | 1.0x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=29, mult=3.7 |
0.2% | -2.7% | 0.21 | 0.07 | 1.0x | 8 | 6% |
| ROC 모멘텀 n=11, threshold=0.07 |
0.0% | -0.5% | 0.12 | 0.06 | 1.0x | 2 | 0% |
| Supertrend period=12, mult=4.3 |
0.1% | -14.2% | 0.03 | 0.00 | 1.0x | 50 | 57% |
| EMA 크로스오버 fast=50, slow=265 |
-0.2% | -17.7% | -0.05 | -0.01 | 1.0x | 14 | 61% |
| SMA 크로스오버 fast=33, slow=275 |
-0.3% | -16.0% | -0.07 | -0.02 | 1.0x | 22 | 57% |
| Donchian 채널 돌파 entryN=13, exitN=72 |
-0.4% | -15.6% | -0.09 | -0.02 | 0.9x | 52 | 82% |
| ADX / DI 방향성 period=27, threshold=30 |
-0.1% | -3.6% | -0.11 | -0.03 | 1.0x | 8 | 3% |
| MACD fast=54, slow=82, signal=66 |
-0.8% | -15.1% | -0.28 | -0.05 | 0.9x | 50 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.4% | -47.5% | -1.10 | -0.07 | 0.5x | 146 | 52% |
| Buy and hold | 0.4% | -17.3% | 0.12 | 0.03 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 42-day middle average