Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Materials Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Materials Select Sector SPDR ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.6%, MDD -45.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -60.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.8%, MDD -61.4%, Sharpe 0.36, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by -0.7%p (CAGR 4.6%, MDD -45.5%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.14 |
5.8% | -61.4% | 0.36 | 0.09 | 4.8x | 3 | 100% |
| Donchian 채널 돌파 entryN=11, exitN=73 |
4.6% | -45.5% | 0.33 | 0.10 | 3.5x | 69 | 88% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=24, mult=3 |
0.5% | -4.3% | 0.28 | 0.12 | 1.2x | 6 | 1% |
| SMA 크로스오버 fast=55, slow=179 |
2.4% | -38.9% | 0.23 | 0.06 | 1.9x | 43 | 64% |
| EMA 크로스오버 fast=51, slow=56 |
1.6% | -42.0% | 0.18 | 0.04 | 1.5x | 85 | 66% |
| Supertrend period=29, mult=2.8 |
-0.7% | -48.4% | 0.03 | -0.02 | 0.8x | 239 | 59% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
-0.1% | -10.6% | -0.07 | -0.01 | 1.0x | 14 | 1% |
| ADX / DI 방향성 period=36, threshold=25 |
-0.2% | -12.6% | -0.10 | -0.02 | 0.9x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.7% | -67.3% | -0.10 | -0.04 | 0.5x | 263 | 58% |
| MACD fast=19, slow=23, signal=19 |
-4.3% | -79.4% | -0.22 | -0.05 | 0.3x | 377 | 50% |
| Buy and hold | 6.0% | -60.7% | 0.37 | 0.10 | 5.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 2-day return is greater than -14%
- Sell — Sell when the 2-day return drops to -14% or below