Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Portfolio S&P 500 Growth ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Portfolio S&P 500 Growth ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.5%, MDD -20.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.3%, drawdown -69.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.7%, MDD -24.3%, Sharpe 0.67, 71% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.8%, MDD -21.1%, exposure 71%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 6.5%, MDD -20.1%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=7, slow=135 |
7.7% | -24.3% | 0.67 | 0.32 | 6.7x | 73 | 71% |
| SMA 크로스오버 fast=11, slow=190 |
7.8% | -21.1% | 0.66 | 0.37 | 6.9x | 43 | 71% |
| Keltner 채널 돌파 emaPeriod=186, atrPeriod=17, mult=2.2 |
6.5% | -20.1% | 0.60 | 0.32 | 5.0x | 59 | 66% |
| Donchian 채널 돌파 entryN=111, exitN=61 |
6.1% | -25.0% | 0.58 | 0.24 | 4.6x | 41 | 60% |
| Supertrend period=29, mult=4.4 |
4.3% | -49.5% | 0.40 | 0.09 | 3.0x | 118 | 66% |
| ROC 모멘텀 n=130, threshold=0.03 |
3.5% | -31.0% | 0.36 | 0.11 | 2.4x | 185 | 62% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
1.4% | -28.1% | 0.19 | 0.05 | 1.4x | 158 | 54% |
| MACD fast=18, slow=58, signal=29 |
0.1% | -52.2% | 0.07 | 0.00 | 1.0x | 252 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.7% | -60.7% | 0.01 | -0.01 | 0.8x | 256 | 62% |
| ADX / DI 방향성 period=27, threshold=14 |
-0.9% | -47.5% | -0.08 | -0.02 | 0.8x | 200 | 30% |
| Buy and hold | 6.3% | -69.7% | 0.39 | 0.09 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 135-day EMA
- Sell — Sell when the 7-day EMA falls below the 135-day EMA