Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR NYSE Technology ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR NYSE Technology ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.6%, MDD -32.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.9%, drawdown -76.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -47.3%, Sharpe 0.65, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 9.6%, MDD -32.3%, exposure 68%).
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=83, slow=198 |
11.0% | -47.3% | 0.65 | 0.23 | 14.7x | 27 | 70% |
| Donchian 채널 돌파 entryN=32, exitN=36 |
9.5% | -38.3% | 0.63 | 0.25 | 10.4x | 80 | 66% |
| EMA 크로스오버 fast=54, slow=140 |
9.6% | -32.3% | 0.62 | 0.30 | 10.7x | 33 | 68% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=9, mult=2 |
6.4% | -34.4% | 0.50 | 0.19 | 5.0x | 132 | 55% |
| ROC 모멘텀 n=84, threshold=-0.03 |
7.1% | -47.5% | 0.47 | 0.15 | 5.9x | 181 | 73% |
| Supertrend period=28, mult=3.7 |
5.0% | -53.4% | 0.38 | 0.09 | 3.5x | 174 | 61% |
| 볼린저 밴드 돌파 n=47, k=1.5 |
3.3% | -31.7% | 0.31 | 0.10 | 2.3x | 158 | 46% |
| ADX / DI 방향성 period=32, threshold=12 |
2.3% | -47.2% | 0.24 | 0.05 | 1.8x | 226 | 37% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.4% | -59.7% | 0.11 | 0.01 | 1.1x | 252 | 58% |
| MACD fast=9, slow=53, signal=16 |
-0.9% | -62.3% | 0.03 | -0.01 | 0.8x | 394 | 51% |
| Buy and hold | 7.9% | -76.3% | 0.41 | 0.10 | 7.1x | 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 83-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 83-day average falls below the 198-day average