Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio S&P 600 Small Cap ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio S&P 600 Small 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.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.2%, drawdown -44.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.5%, MDD -30.0%, Sharpe 0.51, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=9, threshold=-0.11 |
8.5% | -30.0% | 0.51 | 0.28 | 2.9x | 17 | 99% |
| Donchian 채널 돌파 entryN=80, exitN=104 |
4.3% | -27.7% | 0.37 | 0.16 | 1.7x | 15 | 68% |
| EMA 크로스오버 fast=45, slow=94 |
3.7% | -34.3% | 0.32 | 0.11 | 1.6x | 29 | 68% |
| ADX / DI 방향성 period=20, threshold=28 |
1.1% | -7.6% | 0.27 | 0.14 | 1.1x | 12 | 4% |
| SMA 크로스오버 fast=35, slow=131 |
2.8% | -34.7% | 0.27 | 0.08 | 1.4x | 29 | 66% |
| Supertrend period=29, mult=4.7 |
1.8% | -27.4% | 0.19 | 0.06 | 1.3x | 59 | 65% |
| 볼린저 밴드 돌파 n=14, k=3.3 |
0.3% | -3.4% | 0.15 | 0.09 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=3.9 |
0.1% | -5.9% | 0.08 | 0.02 | 1.0x | 4 | 1% |
| MACD fast=18, slow=34, signal=19 |
-1.2% | -35.7% | -0.02 | -0.03 | 0.9x | 160 | 49% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-1.4% | -41.1% | -0.03 | -0.03 | 0.8x | 186 | 58% |
| Buy and hold | 8.2% | -44.4% | 0.47 | 0.18 | 2.8x | 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 9-day return is greater than -11%
- Sell — Sell when the 9-day return drops to -11% or below