Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street Consumer Discretionary Select Sector SPDR ETF backtest
10 trend-following strategies were compared on the full daily history of State Street Consumer Discretionary Select Sector SPDR ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.3%, MDD -39.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -60.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.3%, MDD -39.7%, Sharpe 0.44, 85% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 20.4%p (CAGR 6.3%, MDD -39.7%, exposure 85%).
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 n=165, threshold=-0.09 |
6.3% | -39.7% | 0.44 | 0.16 | 5.4x | 75 | 85% |
| EMA 크로스오버 fast=13, slow=140 |
4.9% | -30.0% | 0.41 | 0.16 | 3.8x | 68 | 70% |
| SMA 크로스오버 fast=19, slow=218 |
5.0% | -42.9% | 0.40 | 0.12 | 3.8x | 52 | 71% |
| Donchian 채널 돌파 entryN=11, exitN=76 |
4.8% | -63.1% | 0.34 | 0.08 | 3.6x | 71 | 90% |
| 볼린저 밴드 돌파 n=29, k=3 |
1.2% | -16.0% | 0.28 | 0.07 | 1.4x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=28, mult=3.9 |
0.4% | -6.1% | 0.24 | 0.07 | 1.1x | 6 | 1% |
| Supertrend period=18, mult=4 |
2.4% | -40.0% | 0.24 | 0.06 | 1.9x | 140 | 63% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.5% | -42.0% | 0.11 | 0.01 | 1.1x | 266 | 61% |
| ADX / DI 방향성 period=18, threshold=33 |
-0.3% | -15.5% | -0.08 | -0.02 | 0.9x | 22 | 3% |
| MACD fast=18, slow=29, signal=15 |
-2.8% | -57.7% | -0.12 | -0.05 | 0.5x | 388 | 50% |
| Buy and hold | 8.3% | -60.1% | 0.47 | 0.14 | 9.1x | 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 165-day return is greater than -9%
- Sell — Sell when the 165-day return drops to -9% or below