Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio TIPS ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio TIPS ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 0.4%, MDD -13.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.2%, drawdown -23.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.4%, MDD -13.5%, Sharpe 0.12, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 10.0%p (CAGR 0.4%, MDD -13.5%, exposure 54%).
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=38, slow=176 |
0.4% | -13.5% | 0.12 | 0.03 | 1.1x | 30 | 54% |
| EMA 크로스오버 fast=77, slow=150 |
0.3% | -14.3% | 0.09 | 0.02 | 1.1x | 24 | 56% |
| ADX / DI 방향성 period=28, threshold=28 |
0.1% | -3.7% | 0.08 | 0.02 | 1.0x | 4 | 1% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
-0.0% | -4.1% | -0.00 | -0.00 | 1.0x | 4 | 2% |
| Donchian 채널 돌파 entryN=49, exitN=75 |
-0.3% | -22.7% | -0.04 | -0.01 | 0.9x | 36 | 63% |
| ROC 모멘텀 n=73, threshold=0.11 |
-0.0% | -0.5% | -0.15 | -0.05 | 1.0x | 2 | 0% |
| Supertrend period=26, mult=4.3 |
-1.2% | -35.0% | -0.23 | -0.03 | 0.8x | 74 | 53% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=25, mult=3.6 |
-0.3% | -4.9% | -0.39 | -0.05 | 1.0x | 4 | 0% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.1% | -56.8% | -0.80 | -0.07 | 0.5x | 155 | 55% |
| MACD fast=19, slow=53, signal=24 |
-5.8% | -69.1% | -1.19 | -0.08 | 0.3x | 196 | 50% |
| Buy and hold | 0.2% | -23.5% | 0.07 | 0.01 | 1.0x | 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 38-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 38-day average falls below the 176-day average