Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street DoubleLine Total Return Tactical ETF backtest
10 trend-following strategies were compared on the full daily history of State Street DoubleLine Total Return Tactical ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -0.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.3%, drawdown -25.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -0.1%, MDD -1.7%, Sharpe -0.15, 1% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -0.7%, exposure 0%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR -0.1%, MDD -0.7%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=3.4 |
-0.1% | -1.7% | -0.15 | -0.04 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=25, threshold=35 |
-0.1% | -0.7% | -0.20 | -0.09 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=32, slow=191 |
-0.8% | -12.6% | -0.26 | -0.07 | 0.9x | 16 | 39% |
| Donchian 채널 돌파 entryN=45, exitN=77 |
-0.9% | -13.4% | -0.28 | -0.07 | 0.9x | 20 | 51% |
| EMA 크로스오버 fast=50, slow=140 |
-0.9% | -12.1% | -0.30 | -0.07 | 0.9x | 14 | 36% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=28, mult=3.8 |
-0.3% | -4.4% | -0.33 | -0.07 | 1.0x | 6 | 2% |
| ROC 모멘텀 n=110, threshold=0.08 |
-0.1% | -1.0% | -0.42 | -0.09 | 1.0x | 2 | 0% |
| Supertrend period=17, mult=3.8 |
-1.8% | -19.2% | -0.62 | -0.09 | 0.8x | 44 | 42% |
| MACD fast=18, slow=59, signal=24 |
-5.0% | -44.0% | -1.44 | -0.11 | 0.6x | 102 | 48% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.8% | -42.9% | -1.52 | -0.11 | 0.6x | 106 | 46% |
| Buy and hold | -2.3% | -25.5% | -0.46 | -0.09 | 0.8x | 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 38-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 38-day middle average