Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers ShortDAX Daily Swap UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers ShortDAX Daily Swap UCITS ETF Capitalisation 1C. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -15.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.3%, drawdown -92.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.1%, MDD -17.2%, Sharpe 0.21, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 75.0%p (CAGR -0.1%, MDD -15.4%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=25, mult=2.6 |
1.1% | -17.2% | 0.21 | 0.07 | 1.2x | 16 | 1% |
| ADX / DI 방향성 period=17, threshold=34 |
0.2% | -16.1% | 0.07 | 0.02 | 1.0x | 10 | 1% |
| ROC 모멘텀 n=7, threshold=0.13 |
-0.1% | -15.4% | 0.00 | -0.01 | 1.0x | 26 | 1% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
-1.3% | -46.5% | -0.04 | -0.03 | 0.8x | 32 | 9% |
| Donchian 채널 돌파 entryN=111, exitN=6 |
-1.4% | -40.0% | -0.08 | -0.03 | 0.8x | 42 | 5% |
| EMA 크로스오버 fast=22, slow=113 |
-2.9% | -65.2% | -0.12 | -0.04 | 0.6x | 38 | 24% |
| SMA 크로스오버 fast=9, slow=179 |
-3.2% | -63.7% | -0.14 | -0.05 | 0.5x | 38 | 22% |
| Supertrend period=33, mult=4.8 |
-4.5% | -70.1% | -0.25 | -0.06 | 0.4x | 85 | 29% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-6.0% | -81.0% | -0.31 | -0.07 | 0.3x | 109 | 31% |
| MACD fast=26, slow=56, signal=15 |
-9.8% | -90.5% | -0.53 | -0.11 | 0.1x | 185 | 52% |
| Buy and hold | -9.3% | -92.2% | -0.35 | -0.10 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 5-day average + 2.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 5-day average