Trend-Following Backtester · Guide · backtest 한국어

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State Street Health Care Select Sector SPDR ETF backtest

10 trend-following strategies were compared on the full daily history of State Street Health Care 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.

Data 1998-12-22 ~ 2026-07-31daily bars 6,943 (27.6 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.0%, drawdown -40.6%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.3%, MDD -43.0%, Sharpe 0.44, 100% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 100%
n=3, threshold=-0.09
6.3%-43.0%0.440.155.4x19100%
Donchian 채널 돌파
entryN=46, exitN=64
3.1%-33.6%0.320.092.3x5365%
SMA 크로스오버
fast=59, slow=299
3.1%-37.2%0.300.082.3x3568%
ADX / DI 방향성
period=31, threshold=28
0.2%-4.5%0.160.041.1x21%
EMA 크로스오버
fast=51, slow=168
1.1%-39.5%0.150.031.4x5369%
Supertrend
period=8, mult=4.7
0.3%-43.3%0.080.011.1x10358%
Keltner 채널 돌파
emaPeriod=93, atrPeriod=12, mult=3.9
0.1%-30.3%0.060.001.0x7137%
볼린저 밴드 돌파
n=23, k=3.5
-0.1%-7.8%-0.03-0.011.0x61%
Parabolic SAR
step=0.005, maxStep=0.26
-3.2%-69.0%-0.22-0.050.4x25760%
MACD
fast=17, slow=34, signal=15
-4.5%-74.1%-0.36-0.060.3x35951%
Buy and hold7.0%-40.6%0.470.176.5x1100%
1x 1999 2003 2007 2011 2015 2019 2023 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -11% -22% -32% -43% 1999 2003 2007 2011 2015 2019 2023 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -43.0% (2007-12-10 → 2009-03-09), recovered after 1,681 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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