Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Aerospace & Defense ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Aerospace & Defense ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.6%, MDD -24.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.8%, drawdown -46.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -24.2%, Sharpe 0.81, 73% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.7%, MDD -38.0%, exposure 85%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p lower than buy and hold, while drawdown improves by 22.5%p (CAGR 12.6%, MDD -24.2%, exposure 73%).
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=13, slow=175 |
12.6% | -24.2% | 0.81 | 0.52 | 5.9x | 23 | 73% |
| EMA 크로스오버 fast=16, slow=211 |
12.3% | -27.9% | 0.78 | 0.44 | 5.6x | 19 | 77% |
| ROC 모멘텀 n=139, threshold=-0.08 |
12.7% | -38.0% | 0.75 | 0.33 | 6.0x | 41 | 85% |
| Donchian 채널 돌파 entryN=27, exitN=67 |
12.3% | -43.0% | 0.72 | 0.29 | 5.6x | 27 | 84% |
| ADX / DI 방향성 period=39, threshold=34 |
1.2% | -7.2% | 0.44 | 0.17 | 1.2x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=20, mult=2 |
5.1% | -24.8% | 0.42 | 0.21 | 2.1x | 74 | 64% |
| Supertrend period=24, mult=5 |
4.3% | -37.3% | 0.35 | 0.11 | 1.9x | 69 | 68% |
| MACD fast=13, slow=55, signal=10 |
1.7% | -31.8% | 0.19 | 0.05 | 1.3x | 234 | 51% |
| 볼린저 밴드 돌파 n=25, k=1.9 |
1.4% | -25.7% | 0.18 | 0.05 | 1.2x | 126 | 38% |
| Parabolic SAR step=0.01, maxStep=0.2 |
1.4% | -47.8% | 0.17 | 0.03 | 1.2x | 216 | 61% |
| Buy and hold | 16.8% | -46.7% | 0.80 | 0.36 | 10.1x | 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 13-day average price crosses above the 175-day average
- Sell — Sell (to cash) when the 13-day average falls below the 175-day average