Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio S&P 400 Mid Cap ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio S&P 400 Mid Cap ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.7%, MDD -30.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -42.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.4%, MDD -30.6%, Sharpe 0.49, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 11.6%p (CAGR 5.7%, MDD -30.7%, exposure 82%).
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 Hold-like · Exposure 99% n=14, threshold=-0.12 |
7.4% | -30.6% | 0.49 | 0.24 | 2.5x | 13 | 99% |
| Donchian 채널 돌파 entryN=22, exitN=73 |
5.7% | -30.7% | 0.44 | 0.18 | 2.1x | 31 | 82% |
| Supertrend period=38, mult=4.9 |
4.1% | -31.0% | 0.37 | 0.13 | 1.7x | 49 | 68% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=25, mult=3.7 |
0.4% | -3.2% | 0.33 | 0.13 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=59, slow=101 |
2.7% | -39.4% | 0.26 | 0.07 | 1.4x | 35 | 65% |
| EMA 크로스오버 fast=53, slow=76 |
2.4% | -28.6% | 0.25 | 0.09 | 1.4x | 33 | 70% |
| 볼린저 밴드 돌파 n=76, k=2.8 |
0.9% | -18.4% | 0.20 | 0.05 | 1.1x | 10 | 10% |
| ADX / DI 방향성 period=21, threshold=26 |
0.4% | -6.9% | 0.15 | 0.06 | 1.1x | 14 | 4% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-0.5% | -28.0% | 0.02 | -0.02 | 0.9x | 185 | 57% |
| MACD fast=14, slow=25, signal=11 |
-3.1% | -37.0% | -0.19 | -0.08 | 0.7x | 232 | 48% |
| Buy and hold | 7.3% | -42.2% | 0.45 | 0.17 | 2.5x | 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 14-day return is greater than -12%
- Sell — Sell when the 14-day return drops to -12% or below