Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Mortgage Backed Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Mortgage Backed Bond ETF. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.0%, drawdown -28.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -5.1%, Sharpe 0.04, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR -0.0%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=37 |
0.1% | -5.1% | 0.04 | 0.01 | 1.0x | 4 | 5% |
| ROC 모멘텀 n=6, threshold=0.11 |
-0.0% | -0.5% | -0.08 | -0.02 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=39, slow=148 |
-0.7% | -19.5% | -0.10 | -0.04 | 0.9x | 28 | 47% |
| EMA 크로스오버 fast=35, slow=175 |
-0.7% | -18.7% | -0.11 | -0.04 | 0.9x | 22 | 46% |
| Supertrend period=24, mult=4.6 |
-0.6% | -18.4% | -0.12 | -0.03 | 0.9x | 38 | 41% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
-0.3% | -4.6% | -0.25 | -0.06 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=105, exitN=55 |
-1.5% | -25.4% | -0.34 | -0.06 | 0.8x | 16 | 27% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=25, mult=3.4 |
-0.6% | -11.5% | -0.36 | -0.05 | 0.9x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-4.9% | -58.7% | -1.05 | -0.08 | 0.4x | 128 | 46% |
| MACD fast=18, slow=34, signal=15 |
-8.7% | -79.8% | -1.72 | -0.11 | 0.2x | 246 | 48% |
| Buy and hold | -1.0% | -28.5% | -0.11 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)