Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Industrial Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Industrial Select Sector SPDR ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.5%, drawdown -63.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.6%, MDD -56.0%, Sharpe 0.48, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 99% n=9, threshold=-0.1 |
7.6% | -56.0% | 0.48 | 0.14 | 7.7x | 45 | 99% |
| Donchian 채널 돌파 entryN=17, exitN=79 |
5.5% | -45.7% | 0.41 | 0.12 | 4.4x | 59 | 88% |
| EMA 크로스오버 fast=26, slow=208 |
4.4% | -29.0% | 0.38 | 0.15 | 3.3x | 39 | 73% |
| SMA 크로스오버 fast=49, slow=194 |
4.3% | -43.3% | 0.37 | 0.10 | 3.2x | 35 | 68% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=22, mult=3.7 |
0.4% | -4.0% | 0.32 | 0.10 | 1.1x | 6 | 1% |
| Supertrend period=16, mult=5 |
2.8% | -51.3% | 0.28 | 0.05 | 2.1x | 95 | 61% |
| ADX / DI 방향성 period=54, threshold=32 |
0.1% | -2.1% | 0.22 | 0.06 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=58, k=3 |
0.7% | -12.2% | 0.19 | 0.05 | 1.2x | 22 | 9% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.8% | -51.4% | 0.01 | -0.02 | 0.8x | 260 | 59% |
| MACD fast=29, slow=45, signal=17 |
-1.5% | -54.3% | -0.05 | -0.03 | 0.7x | 284 | 50% |
| Buy and hold | 7.5% | -63.3% | 0.45 | 0.12 | 7.5x | 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 9-day return is greater than -10%
- Sell — Sell when the 9-day return drops to -10% or below