Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Software & Services ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Software & Services ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -45.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -37.0%, Sharpe 0.68, 70% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.2%, MDD -43.4%, exposure 90%.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=18, slow=50 |
10.0% | -37.0% | 0.68 | 0.27 | 4.1x | 53 | 70% |
| ROC 모멘텀 n=38, threshold=-0.09 |
11.2% | -43.4% | 0.64 | 0.26 | 4.8x | 79 | 90% |
| Donchian 채널 돌파 entryN=68, exitN=41 |
9.0% | -22.1% | 0.64 | 0.41 | 3.6x | 33 | 64% |
| SMA 크로스오버 fast=9, slow=125 |
7.7% | -25.5% | 0.54 | 0.30 | 3.0x | 47 | 70% |
| Supertrend period=25, mult=3.2 |
5.4% | -39.9% | 0.41 | 0.14 | 2.2x | 143 | 62% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
3.5% | -26.6% | 0.32 | 0.13 | 1.7x | 93 | 55% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=19, mult=2 |
3.0% | -24.0% | 0.29 | 0.12 | 1.5x | 120 | 48% |
| Parabolic SAR step=0.02, maxStep=0.08 |
0.0% | -54.0% | 0.08 | 0.00 | 1.0x | 255 | 62% |
| MACD fast=23, slow=33, signal=26 |
-1.0% | -55.0% | 0.01 | -0.02 | 0.9x | 150 | 49% |
| ADX / DI 방향성 period=34, threshold=16 |
-0.7% | -24.1% | -0.07 | -0.03 | 0.9x | 48 | 12% |
| Buy and hold | 14.4% | -45.4% | 0.68 | 0.32 | 7.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 50-day EMA
- Sell — Sell when the 18-day EMA falls below the 50-day EMA