Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Homebuilders ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Homebuilders ETF. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.0%, MDD -38.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.1%, drawdown -82.3%).
Sharpe leader (same as main): Supertrend — CAGR 7.9%, MDD -48.3%, Sharpe 0.47, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 4.0%, MDD -38.4%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=5 |
7.9% | -48.3% | 0.47 | 0.16 | 4.7x | 51 | 59% |
| SMA 크로스오버 fast=15, slow=53 |
4.6% | -54.6% | 0.32 | 0.08 | 2.5x | 99 | 59% |
| EMA 크로스오버 fast=21, slow=192 |
4.0% | -38.4% | 0.31 | 0.10 | 2.2x | 39 | 62% |
| Donchian 채널 돌파 entryN=111, exitN=67 |
3.8% | -34.0% | 0.31 | 0.11 | 2.1x | 28 | 54% |
| 볼린저 밴드 돌파 n=49, k=0.9 |
1.9% | -37.6% | 0.19 | 0.05 | 1.5x | 158 | 50% |
| ROC 모멘텀 n=53, threshold=-0.02 |
1.3% | -54.4% | 0.17 | 0.02 | 1.3x | 227 | 66% |
| MACD fast=30, slow=58, signal=38 |
0.7% | -63.6% | 0.14 | 0.01 | 1.2x | 142 | 53% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=4 |
-0.0% | -20.2% | 0.03 | -0.00 | 1.0x | 24 | 8% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.9% | -64.2% | 0.01 | -0.03 | 0.7x | 190 | 56% |
| ADX / DI 방향성 period=39, threshold=16 |
-0.2% | -22.9% | 0.01 | -0.01 | 1.0x | 58 | 15% |
| Buy and hold | 4.1% | -82.3% | 0.29 | 0.05 | 2.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)