Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI JAPAN UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI JAPAN UCITS ETF Capitalisation 1C. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.1%, MDD -31.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.0%, drawdown -59.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -31.7%, Sharpe 0.36, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 5.1%, MDD -31.7%, exposure 63%).
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=78, slow=258 |
5.1% | -31.7% | 0.36 | 0.16 | 2.5x | 19 | 63% |
| ROC 모멘텀 n=141, threshold=-0.14 |
4.8% | -36.1% | 0.31 | 0.13 | 2.4x | 35 | 89% |
| EMA 크로스오버 fast=51, slow=130 |
2.2% | -33.7% | 0.21 | 0.07 | 1.5x | 31 | 63% |
| ADX / DI 방향성 period=35, threshold=27 |
0.3% | -12.4% | 0.11 | 0.02 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=19, exitN=74 |
-0.3% | -62.2% | 0.10 | -0.00 | 0.9x | 49 | 81% |
| Supertrend period=21, mult=5 |
-2.0% | -62.1% | -0.01 | -0.03 | 0.7x | 95 | 56% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
-1.3% | -37.3% | -0.01 | -0.04 | 0.8x | 38 | 18% |
| MACD fast=21, slow=68, signal=38 |
-2.3% | -49.4% | -0.02 | -0.05 | 0.7x | 134 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=3.7 |
-1.9% | -39.8% | -0.04 | -0.05 | 0.7x | 72 | 31% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-7.1% | -75.3% | -0.28 | -0.09 | 0.3x | 170 | 55% |
| Buy and hold | 4.0% | -59.8% | 0.28 | 0.07 | 2.1x | 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 78-day average price crosses above the 258-day average
- Sell — Sell (to cash) when the 78-day average falls below the 258-day average