Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Technology Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Technology Select Sector SPDR ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.2%, MDD -31.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.0%, drawdown -82.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -31.5%, Sharpe 0.60, 69% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 9.2%, MDD -31.5%, exposure 69%).
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=45, slow=186 |
9.2% | -31.5% | 0.60 | 0.29 | 11.4x | 33 | 69% |
| EMA 크로스오버 fast=58, slow=117 |
9.1% | -31.5% | 0.59 | 0.29 | 11.1x | 35 | 71% |
| ROC 모멘텀 n=151, threshold=-0.03 |
7.6% | -41.0% | 0.50 | 0.18 | 7.5x | 145 | 75% |
| Donchian 채널 돌파 entryN=35, exitN=39 |
6.5% | -42.7% | 0.48 | 0.15 | 5.7x | 84 | 64% |
| Supertrend period=12, mult=5 |
5.3% | -41.9% | 0.43 | 0.13 | 4.2x | 90 | 57% |
| 볼린저 밴드 돌파 n=47, k=2.6 |
1.8% | -23.8% | 0.27 | 0.07 | 1.6x | 44 | 16% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=12, mult=2.5 |
2.4% | -33.9% | 0.26 | 0.07 | 1.9x | 142 | 44% |
| ADX / DI 방향성 period=37, threshold=13 |
2.0% | -34.2% | 0.24 | 0.06 | 1.7x | 140 | 27% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.2% | -55.6% | 0.16 | 0.02 | 1.4x | 288 | 60% |
| MACD fast=19, slow=36, signal=19 |
-1.8% | -65.4% | -0.04 | -0.03 | 0.6x | 330 | 52% |
| Buy and hold | 9.0% | -82.0% | 0.46 | 0.11 | 10.9x | 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 45-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 45-day average falls below the 186-day average