Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Oil & Gas Exploration & Production ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Oil & Gas Exploration & Production ETF. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -16.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.5%, drawdown -91.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -41.1%, Sharpe 0.46, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR 1.9%, MDD -16.4%, exposure 4%).
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=25, slow=194 |
8.4% | -41.1% | 0.46 | 0.21 | 5.1x | 23 | 56% |
| EMA 크로스오버 fast=58, slow=148 |
7.7% | -42.8% | 0.43 | 0.18 | 4.5x | 27 | 58% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
1.9% | -16.4% | 0.28 | 0.11 | 1.5x | 6 | 4% |
| MACD fast=9, slow=47, signal=16 |
3.6% | -73.6% | 0.27 | 0.05 | 2.1x | 277 | 52% |
| Supertrend period=18, mult=3.5 |
3.2% | -55.6% | 0.25 | 0.06 | 1.9x | 115 | 51% |
| Donchian 채널 돌파 entryN=32, exitN=79 |
2.8% | -63.4% | 0.24 | 0.04 | 1.8x | 41 | 75% |
| ROC 모멘텀 n=84, threshold=-0.04 |
1.5% | -72.7% | 0.18 | 0.02 | 1.3x | 191 | 65% |
| Parabolic SAR step=0.01, maxStep=0.22 |
1.0% | -67.3% | 0.17 | 0.01 | 1.2x | 285 | 53% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=23, mult=1.5 |
1.1% | -50.6% | 0.16 | 0.02 | 1.2x | 125 | 43% |
| ADX / DI 방향성 period=24, threshold=25 |
-0.1% | -26.7% | 0.03 | -0.00 | 1.0x | 30 | 5% |
| Buy and hold | 1.5% | -91.0% | 0.24 | 0.02 | 1.4x | 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 25-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 25-day average falls below the 194-day average