Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Deka MSCI World Climate Change ESG CTB UCITS ETF Units backtest
10 trend-following strategies were compared on the full daily history of Deka MSCI World Climate Change ESG CTB UCITS ETF Units. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 11.4%, MDD -12.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -24.0%).
Sharpe leader (same as main): MACD — CAGR 11.4%, MDD -12.5%, Sharpe 1.18, 51% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.7%, MDD -25.2%, exposure 89%.
Return/drawdown alternative: MACD — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 11.5%p (CAGR 11.4%, MDD -12.5%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=30, slow=76, signal=31 |
11.4% | -12.5% | 1.18 | 0.91 | 2.0x | 28 | 51% |
| ROC 모멘텀 n=31, threshold=-0.05 |
13.7% | -25.2% | 1.01 | 0.54 | 2.2x | 37 | 89% |
| Donchian 채널 돌파 entryN=16, exitN=41 |
12.5% | -21.1% | 0.98 | 0.59 | 2.1x | 19 | 82% |
| Supertrend period=29, mult=3.4 |
9.9% | -14.5% | 0.92 | 0.68 | 1.8x | 45 | 67% |
| SMA 크로스오버 fast=22, slow=95 |
10.6% | -25.8% | 0.90 | 0.41 | 1.9x | 15 | 72% |
| EMA 크로스오버 fast=23, slow=88 |
10.5% | -23.4% | 0.89 | 0.45 | 1.9x | 13 | 74% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=22, mult=2.1 |
5.2% | -16.3% | 0.56 | 0.32 | 1.4x | 39 | 57% |
| 볼린저 밴드 돌파 n=38, k=1.1 |
5.0% | -14.5% | 0.55 | 0.34 | 1.4x | 55 | 56% |
| Parabolic SAR step=0.01, maxStep=0.16 |
4.2% | -17.5% | 0.45 | 0.24 | 1.3x | 91 | 62% |
| ADX / DI 방향성 period=21, threshold=25 |
1.3% | -6.6% | 0.31 | 0.20 | 1.1x | 16 | 12% |
| Buy and hold | 15.2% | -24.0% | 0.97 | 0.63 | 2.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (30/76) crosses above its 31-day signal line
- Sell — Sell when the MACD line crosses back below the signal line