Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI WORLD SWAP UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI WORLD SWAP UCITS ETF Capitalisation 1C. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.9%, MDD -24.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.4%, drawdown -64.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -33.8%, Sharpe 0.65, 72% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 6.9%, MDD -24.2%, exposure 80%).
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=73, slow=129 |
9.1% | -33.8% | 0.65 | 0.27 | 5.1x | 29 | 72% |
| Donchian 채널 돌파 entryN=98, exitN=45 |
6.3% | -24.2% | 0.53 | 0.26 | 3.1x | 37 | 58% |
| EMA 크로스오버 fast=35, slow=123 |
6.9% | -31.7% | 0.52 | 0.22 | 3.5x | 29 | 76% |
| ROC 모멘텀 n=121, threshold=-0.04 |
6.9% | -24.2% | 0.52 | 0.29 | 3.5x | 105 | 80% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=32, mult=3.4 |
2.9% | -29.4% | 0.29 | 0.10 | 1.7x | 67 | 49% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
1.6% | -31.2% | 0.19 | 0.05 | 1.4x | 125 | 54% |
| Supertrend period=24, mult=4.9 |
-5.8% | -92.4% | -0.10 | -0.06 | 0.3x | 93 | 69% |
| ADX / DI 방향성 period=25, threshold=11 |
-2.4% | -52.2% | -0.14 | -0.05 | 0.6x | 259 | 46% |
| MACD fast=14, slow=15, signal=13 |
-3.9% | -63.4% | -0.17 | -0.06 | 0.5x | 325 | 52% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-9.6% | -90.0% | -0.35 | -0.11 | 0.1x | 279 | 63% |
| Buy and hold | 7.4% | -64.4% | 0.37 | 0.12 | 3.8x | 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 73-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 73-day average falls below the 129-day average