Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Blackstone Senior Loan ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Blackstone Senior Loan ETF. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.6%, drawdown -28.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.8%, Sharpe 0.57, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 0.0%, MDD -0.5%, 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=40, threshold=0.06 |
0.3% | -0.8% | 0.57 | 0.38 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=38, threshold=35 |
0.0% | -0.5% | 0.13 | 0.06 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
-0.0% | -1.3% | -0.12 | -0.03 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=17, mult=2.6 |
-0.1% | -1.1% | -0.42 | -0.08 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=54, slow=189 |
-1.6% | -19.1% | -0.55 | -0.08 | 0.8x | 20 | 39% |
| Donchian 채널 돌파 entryN=63, exitN=78 |
-1.3% | -15.8% | -0.64 | -0.08 | 0.8x | 24 | 47% |
| Supertrend period=24, mult=5 |
-2.0% | -24.8% | -0.74 | -0.08 | 0.8x | 49 | 58% |
| EMA 크로스오버 fast=39, slow=141 |
-1.4% | -17.5% | -0.79 | -0.08 | 0.8x | 28 | 40% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.6% | -39.1% | -1.26 | -0.09 | 0.6x | 107 | 50% |
| MACD fast=16, slow=54, signal=18 |
-5.5% | -53.1% | -1.91 | -0.10 | 0.5x | 145 | 48% |
| Buy and hold | -1.6% | -28.4% | -0.27 | -0.06 | 0.8x | 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 40-day return is greater than 6%
- Sell — Sell when the 40-day return drops to 6% or below