Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio S&P 500 High Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio S&P 500 High Dividend ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.7%, MDD -28.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -47.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -7.4%, Sharpe 0.59, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.7%, MDD -28.7%, exposure 82%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 40.0%p (CAGR 3.7%, MDD -28.7%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=52, k=3.2 |
2.8% | -7.4% | 0.59 | 0.38 | 1.4x | 4 | 8% |
| Donchian 채널 돌파 entryN=13, exitN=43 |
3.7% | -28.7% | 0.32 | 0.13 | 1.5x | 39 | 82% |
| ADX / DI 방향성 period=38, threshold=22 |
0.9% | -5.1% | 0.31 | 0.18 | 1.1x | 4 | 7% |
| SMA 크로스오버 fast=32, slow=155 |
2.9% | -25.9% | 0.30 | 0.11 | 1.4x | 21 | 63% |
| EMA 크로스오버 fast=51, slow=99 |
0.7% | -28.0% | 0.12 | 0.03 | 1.1x | 27 | 65% |
| ROC 모멘텀 n=135, threshold=0.1 |
0.5% | -24.8% | 0.10 | 0.02 | 1.1x | 69 | 20% |
| Supertrend period=27, mult=4.2 |
0.5% | -29.1% | 0.10 | 0.02 | 1.1x | 51 | 60% |
| MACD fast=17, slow=28, signal=15 |
-0.2% | -28.3% | 0.04 | -0.01 | 1.0x | 135 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.1% | -33.6% | -0.02 | -0.03 | 0.9x | 95 | 57% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=2 |
-1.0% | -26.8% | -0.07 | -0.04 | 0.9x | 61 | 42% |
| Buy and hold | 4.6% | -47.3% | 0.33 | 0.10 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 52-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 52-day middle average