Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio Intermediate Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio Intermediate Term Treasury ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -5.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.3%, drawdown -19.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -5.9%, Sharpe 0.19, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 13.0%p (CAGR 0.3%, MDD -5.9%, exposure 17%).
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=48, threshold=30 |
0.3% | -5.9% | 0.19 | 0.06 | 1.1x | 6 | 17% |
| ROC 모멘텀 Hold-like · Exposure 98% n=93, threshold=-0.09 |
0.1% | -20.5% | 0.05 | 0.01 | 1.0x | 3 | 98% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=4 |
0.0% | -2.8% | 0.03 | 0.01 | 1.0x | 4 | 2% |
| EMA 크로스오버 fast=59, slow=212 |
-0.4% | -13.6% | -0.10 | -0.03 | 0.9x | 26 | 52% |
| SMA 크로스오버 fast=44, slow=105 |
-0.5% | -16.7% | -0.11 | -0.03 | 0.9x | 46 | 53% |
| 볼린저 밴드 돌파 n=46, k=3.1 |
-0.2% | -6.9% | -0.14 | -0.03 | 1.0x | 20 | 9% |
| Donchian 채널 돌파 entryN=42, exitN=49 |
-0.9% | -21.5% | -0.25 | -0.04 | 0.8x | 44 | 49% |
| Supertrend period=9, mult=5 |
-1.0% | -24.7% | -0.26 | -0.04 | 0.8x | 54 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.4% | -49.8% | -1.00 | -0.07 | 0.5x | 116 | 42% |
| MACD fast=17, slow=42, signal=18 |
-5.3% | -65.3% | -1.56 | -0.08 | 0.4x | 218 | 49% |
| Buy and hold | 0.3% | -19.0% | 0.09 | 0.02 | 1.1x | 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, 48-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)