Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR Bloomberg 1a??10 Year TIPS ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR Bloomberg 1a??10 Year TIPS ETF. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.7%, drawdown -16.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.3%, MDD -8.9%, Sharpe 0.12, 49% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 7.8%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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=202 |
0.3% | -8.9% | 0.12 | 0.04 | 1.0x | 12 | 49% |
| EMA 크로스오버 fast=70, slow=194 |
0.0% | -10.8% | 0.03 | 0.00 | 1.0x | 12 | 46% |
| ADX / DI 방향성 period=39, threshold=38 |
0.0% | -2.4% | 0.02 | 0.01 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=82, threshold=0.05 |
-0.0% | -0.5% | -0.08 | -0.03 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=96, exitN=64 |
-0.4% | -10.2% | -0.15 | -0.04 | 0.9x | 16 | 38% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
-0.1% | -3.3% | -0.16 | -0.03 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=12, mult=3.6 |
-0.2% | -2.4% | -0.44 | -0.08 | 1.0x | 4 | 1% |
| Supertrend period=29, mult=5 |
-3.3% | -36.4% | -0.99 | -0.09 | 0.6x | 62 | 48% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-3.7% | -39.2% | -1.09 | -0.09 | 0.6x | 92 | 48% |
| MACD fast=18, slow=58, signal=24 |
-5.0% | -49.9% | -1.44 | -0.10 | 0.5x | 120 | 50% |
| Buy and hold | -0.7% | -16.7% | -0.13 | -0.04 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 57-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 57-day average falls below the 202-day average