Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers II EUR Corporate Bond UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers II EUR Corporate Bond UCITS ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 1.9%, drawdown -17.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.3%, MDD -4.8%, Sharpe 0.63, 56% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 2.0%, MDD -18.7%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=157, exitN=81 |
1.3% | -4.8% | 0.63 | 0.27 | 1.2x | 14 | 56% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.04 |
2.0% | -18.7% | 0.57 | 0.11 | 1.4x | 5 | 100% |
| EMA 크로스오버 fast=59, slow=111 |
1.1% | -7.3% | 0.43 | 0.15 | 1.2x | 25 | 72% |
| Supertrend period=29, mult=4.7 |
1.1% | -7.8% | 0.39 | 0.14 | 1.2x | 39 | 64% |
| SMA 크로스오버 fast=42, slow=161 |
1.0% | -10.6% | 0.38 | 0.09 | 1.2x | 21 | 69% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
0.3% | -6.5% | 0.16 | 0.04 | 1.0x | 30 | 30% |
| ADX / DI 방향성 period=39, threshold=33 |
0.1% | -1.6% | 0.12 | 0.04 | 1.0x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=3.6 |
0.1% | -8.7% | 0.08 | 0.02 | 1.0x | 34 | 35% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-1.0% | -17.7% | -0.34 | -0.06 | 0.8x | 96 | 66% |
| MACD fast=17, slow=56, signal=30 |
-2.3% | -32.7% | -0.83 | -0.07 | 0.7x | 130 | 49% |
| Buy and hold | 1.9% | -17.2% | 0.47 | 0.11 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 157 days
- Sell — Sell when price breaks below the lowest low of the last 81 days