Trend-Following Backtester · Guide · backtest 한국어
etf · US
State Street SPDR S&P Telecom ETF backtest
10 trend-following strategies were compared on the full daily history of State Street SPDR S&P Telecom ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -38.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -35.1%, Sharpe 0.55, 61% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=422 |
7.9% | -35.1% | 0.55 | 0.23 | 3.3x | 17 | 61% |
| EMA 크로스오버 fast=59, slow=192 |
6.1% | -45.4% | 0.45 | 0.13 | 2.5x | 21 | 62% |
| ADX / DI 방향성 period=23, threshold=29 |
2.2% | -10.5% | 0.44 | 0.21 | 1.4x | 12 | 7% |
| Donchian 채널 돌파 entryN=88, exitN=81 |
4.9% | -36.9% | 0.41 | 0.13 | 2.1x | 23 | 50% |
| ROC 모멘텀 n=42, threshold=0.13 |
2.7% | -23.5% | 0.37 | 0.11 | 1.5x | 84 | 11% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=27, mult=4 |
2.5% | -21.4% | 0.33 | 0.11 | 1.5x | 36 | 17% |
| Supertrend period=19, mult=4.1 |
1.2% | -55.6% | 0.15 | 0.02 | 1.2x | 116 | 54% |
| 볼린저 밴드 돌파 n=46, k=2 |
-0.0% | -56.3% | 0.06 | -0.00 | 1.0x | 74 | 31% |
| MACD fast=16, slow=45, signal=13 |
-2.2% | -60.9% | -0.08 | -0.04 | 0.7x | 220 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.4% | -73.2% | -0.09 | -0.03 | 0.7x | 152 | 53% |
| Buy and hold | 9.4% | -38.5% | 0.51 | 0.24 | 4.0x | 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 38-day average price crosses above the 422-day average
- Sell — Sell (to cash) when the 38-day average falls below the 422-day average