Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Metals & Mining ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Metals & Mining ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.6%, MDD -36.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -87.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -36.1%, Sharpe 0.53, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 10.6%, MDD -36.1%, exposure 57%).
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=26, slow=135 |
10.6% | -36.1% | 0.53 | 0.29 | 7.6x | 42 | 57% |
| EMA 크로스오버 fast=50, slow=71 |
9.6% | -43.2% | 0.50 | 0.22 | 6.4x | 39 | 58% |
| Donchian 채널 돌파 entryN=42, exitN=64 |
8.3% | -48.0% | 0.44 | 0.17 | 5.0x | 41 | 63% |
| ROC 모멘텀 n=112, threshold=-0.03 |
8.3% | -53.7% | 0.44 | 0.15 | 5.0x | 141 | 62% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
2.2% | -16.0% | 0.33 | 0.14 | 1.6x | 6 | 5% |
| ADX / DI 방향성 period=48, threshold=15 |
3.1% | -27.4% | 0.31 | 0.11 | 1.8x | 40 | 11% |
| Supertrend period=8, mult=2.6 |
4.2% | -70.5% | 0.29 | 0.06 | 2.3x | 183 | 52% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=17, mult=3.7 |
1.7% | -19.3% | 0.25 | 0.09 | 1.4x | 20 | 5% |
| MACD fast=11, slow=63, signal=10 |
-0.4% | -85.2% | 0.12 | -0.00 | 0.9x | 339 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.0% | -81.9% | 0.09 | -0.01 | 0.8x | 373 | 53% |
| Buy and hold | 4.9% | -87.3% | 0.32 | 0.06 | 2.6x | 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 26-day average price crosses above the 135-day average
- Sell — Sell (to cash) when the 26-day average falls below the 135-day average