Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers DAX UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers DAX UCITS ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.1%, MDD -33.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -54.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.1%, MDD -33.8%, Sharpe 0.43, 71% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.8%, MDD -52.3%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 20.6%p (CAGR 5.1%, MDD -33.8%, exposure 71%).
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=6, slow=187 |
5.1% | -33.8% | 0.43 | 0.15 | 2.5x | 45 | 71% |
| 볼린저 밴드 돌파 n=52, k=2.9 |
1.7% | -8.1% | 0.43 | 0.21 | 1.4x | 10 | 9% |
| SMA 크로스오버 fast=51, slow=231 |
4.8% | -45.8% | 0.40 | 0.11 | 2.4x | 19 | 68% |
| ROC 모멘텀 Hold-like · Exposure 97% n=15, threshold=-0.09 |
5.8% | -52.3% | 0.39 | 0.11 | 2.9x | 57 | 97% |
| Donchian 채널 돌파 entryN=86, exitN=86 |
4.1% | -23.4% | 0.38 | 0.18 | 2.1x | 29 | 63% |
| Supertrend period=29, mult=3.1 |
1.5% | -34.8% | 0.18 | 0.04 | 1.3x | 161 | 62% |
| ADX / DI 방향성 period=31, threshold=25 |
0.3% | -5.2% | 0.13 | 0.06 | 1.1x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=29, mult=3 |
0.3% | -10.0% | 0.12 | 0.03 | 1.1x | 20 | 5% |
| MACD fast=15, slow=36, signal=17 |
-2.5% | -47.7% | -0.13 | -0.05 | 0.6x | 253 | 49% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-4.3% | -61.1% | -0.26 | -0.07 | 0.4x | 284 | 57% |
| Buy and hold | 6.1% | -54.4% | 0.38 | 0.11 | 3.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 6-day EMA crosses above the 187-day EMA
- Sell — Sell when the 6-day EMA falls below the 187-day EMA