Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Long Term Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Long Term Corporate Bond ETF. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -2.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.2%, drawdown -40.3%).
Sharpe leader (same as main): Supertrend — CAGR 1.5%, MDD -21.5%, Sharpe 0.23, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 0.3%, MDD -2.3%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=4.8 |
1.5% | -21.5% | 0.23 | 0.07 | 1.3x | 48 | 51% |
| ROC 모멘텀 n=13, threshold=0.11 |
0.3% | -2.3% | 0.21 | 0.15 | 1.1x | 2 | 0% |
| ADX / DI 방향성 period=35, threshold=22 |
0.4% | -11.9% | 0.17 | 0.04 | 1.1x | 18 | 8% |
| Donchian 채널 돌파 entryN=41, exitN=73 |
0.8% | -28.5% | 0.14 | 0.03 | 1.2x | 34 | 65% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
0.2% | -6.1% | 0.11 | 0.03 | 1.0x | 4 | 3% |
| EMA 크로스오버 fast=36, slow=46 |
0.4% | -30.1% | 0.10 | 0.01 | 1.1x | 58 | 54% |
| SMA 크로스오버 fast=46, slow=108 |
-0.2% | -28.0% | 0.02 | -0.01 | 1.0x | 40 | 52% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=12, mult=4 |
-0.1% | -19.6% | -0.02 | -0.01 | 1.0x | 24 | 9% |
| MACD fast=30, slow=54, signal=29 |
-2.6% | -46.6% | -0.30 | -0.06 | 0.6x | 114 | 50% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-5.7% | -67.6% | -0.70 | -0.08 | 0.4x | 268 | 54% |
| Buy and hold | 0.2% | -40.3% | 0.08 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)