Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Short Term Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Short Term Corporate Bond ETF. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.1%, drawdown -11.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.7%, Sharpe 0.31, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 11.1%p (CAGR 0.1%, MDD -0.7%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=14, threshold=0.03 |
0.1% | -0.7% | 0.31 | 0.14 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
0.0% | -0.8% | 0.06 | 0.02 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=110, exitN=133 |
-0.3% | -6.5% | -0.19 | -0.04 | 1.0x | 14 | 55% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=15, mult=3.9 |
-0.1% | -2.7% | -0.26 | -0.05 | 1.0x | 6 | 3% |
| ADX / DI 방향성 period=35, threshold=31 |
-0.0% | -0.7% | -0.33 | -0.06 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=47, slow=179 |
-0.7% | -12.5% | -0.38 | -0.06 | 0.9x | 18 | 55% |
| Supertrend period=17, mult=4.8 |
-0.7% | -12.4% | -0.47 | -0.06 | 0.9x | 32 | 53% |
| SMA 크로스오버 fast=27, slow=219 |
-0.9% | -14.3% | -0.49 | -0.06 | 0.9x | 24 | 51% |
| MACD fast=40, slow=71, signal=40 |
-2.8% | -38.8% | -1.48 | -0.07 | 0.6x | 91 | 45% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.3% | -51.7% | -2.18 | -0.08 | 0.5x | 147 | 52% |
| Buy and hold | -0.1% | -11.8% | -0.01 | -0.00 | 1.0x | 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 3%
- Sell — Sell when the 14-day return drops to 3% or below