Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI KOREA UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI KOREA UCITS ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.3%, MDD -47.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.9%, drawdown -73.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -47.9%, Sharpe 0.45, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 25.9%p (CAGR 8.3%, MDD -47.9%, exposure 58%).
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=59, slow=201 |
8.3% | -47.9% | 0.45 | 0.17 | 4.4x | 23 | 58% |
| ADX / DI 방향성 period=45, threshold=15 |
3.6% | -32.6% | 0.35 | 0.11 | 1.9x | 32 | 13% |
| EMA 크로스오버 fast=50, slow=192 |
5.5% | -52.1% | 0.34 | 0.11 | 2.7x | 21 | 55% |
| ROC 모멘텀 n=136, threshold=0.01 |
3.9% | -61.5% | 0.27 | 0.06 | 2.0x | 141 | 54% |
| Donchian 채널 돌파 entryN=17, exitN=82 |
2.1% | -67.6% | 0.25 | 0.03 | 1.5x | 59 | 82% |
| 볼린저 밴드 돌파 n=38, k=1.2 |
-2.2% | -73.8% | 0.03 | -0.03 | 0.7x | 164 | 41% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=23, mult=2.4 |
-2.7% | -76.4% | -0.01 | -0.03 | 0.6x | 120 | 41% |
| MACD fast=18, slow=36, signal=15 |
-6.2% | -88.1% | -0.06 | -0.07 | 0.3x | 238 | 51% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-8.5% | -89.9% | -0.15 | -0.09 | 0.2x | 384 | 55% |
| Supertrend period=17, mult=2.2 |
-9.5% | -92.1% | -0.20 | -0.10 | 0.2x | 380 | 58% |
| Buy and hold | 5.9% | -73.8% | 0.35 | 0.08 | 2.9x | 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 59-day average price crosses above the 201-day average
- Sell — Sell (to cash) when the 59-day average falls below the 201-day average