Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Oil & Gas Equipment & Services ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Oil & Gas Equipment & Services ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.8%, MDD -22.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.7%, drawdown -96.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.8%, MDD -22.7%, Sharpe 0.36, 8% exposure.
CAGR reference leader: Supertrend — CAGR 4.5%, MDD -54.8%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 73.4%p (CAGR 2.8%, MDD -22.7%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=20 |
2.8% | -22.7% | 0.36 | 0.12 | 1.8x | 30 | 8% |
| Supertrend period=21, mult=3.5 |
4.5% | -54.8% | 0.30 | 0.08 | 2.5x | 114 | 51% |
| 볼린저 밴드 돌파 n=39, k=2.1 |
3.1% | -54.6% | 0.26 | 0.06 | 1.9x | 86 | 28% |
| Donchian 채널 돌파 entryN=16, exitN=74 |
2.7% | -76.0% | 0.24 | 0.04 | 1.7x | 59 | 78% |
| SMA 크로스오버 fast=25, slow=178 |
2.2% | -61.2% | 0.21 | 0.04 | 1.5x | 37 | 51% |
| EMA 크로스오버 fast=12, slow=42 |
1.6% | -69.0% | 0.19 | 0.02 | 1.4x | 118 | 53% |
| ROC 모멘텀 n=90, threshold=0 |
0.6% | -74.5% | 0.14 | 0.01 | 1.1x | 226 | 53% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=15, mult=3.8 |
0.9% | -48.5% | 0.13 | 0.02 | 1.2x | 34 | 12% |
| MACD fast=11, slow=50, signal=17 |
-1.8% | -83.0% | 0.09 | -0.02 | 0.7x | 262 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.2% | -74.9% | 0.05 | -0.03 | 0.6x | 194 | 52% |
| Buy and hold | -4.7% | -96.1% | 0.10 | -0.05 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)