Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Deka MSCI Europe UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Deka MSCI Europe UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.6%, drawdown -36.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -31.6%, Sharpe 0.51, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.1 |
6.9% | -31.6% | 0.51 | 0.22 | 3.2x | 13 | 99% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
0.7% | -6.8% | 0.30 | 0.10 | 1.1x | 6 | 5% |
| EMA 크로스오버 fast=38, slow=169 |
2.5% | -29.7% | 0.27 | 0.09 | 1.5x | 23 | 70% |
| Donchian 채널 돌파 entryN=13, exitN=77 |
2.0% | -34.5% | 0.21 | 0.06 | 1.4x | 53 | 87% |
| SMA 크로스오버 fast=55, slow=137 |
1.8% | -44.6% | 0.21 | 0.04 | 1.4x | 37 | 66% |
| Supertrend period=19, mult=3.5 |
-0.3% | -30.3% | 0.03 | -0.01 | 1.0x | 177 | 61% |
| ADX / DI 방향성 period=45, threshold=16 |
-0.2% | -9.2% | -0.04 | -0.02 | 1.0x | 16 | 6% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=20, mult=3.7 |
-1.6% | -31.7% | -0.15 | -0.05 | 0.8x | 73 | 46% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-2.5% | -51.4% | -0.20 | -0.05 | 0.6x | 167 | 59% |
| MACD fast=23, slow=57, signal=10 |
-3.1% | -43.9% | -0.27 | -0.07 | 0.6x | 216 | 52% |
| Buy and hold | 6.6% | -36.1% | 0.46 | 0.18 | 3.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 10-day return is greater than -10%
- Sell — Sell when the 10-day return drops to -10% or below