Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Deka EURO STOXX 50 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Deka EURO STOXX 50 UCITS ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.9%, MDD -29.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.1%, drawdown -54.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -1.9%, Sharpe 0.60, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.9%, MDD -29.9%, exposure 59%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 52.5%p (CAGR 2.9%, MDD -29.9%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=3 |
0.7% | -1.9% | 0.60 | 0.37 | 1.1x | 4 | 2% |
| SMA 크로스오버 fast=57, slow=90 |
2.9% | -29.9% | 0.28 | 0.10 | 1.7x | 53 | 59% |
| ROC 모멘텀 n=4, threshold=0.14 |
0.2% | -0.5% | 0.27 | 0.36 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=37, threshold=25 |
0.2% | -3.1% | 0.20 | 0.07 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=54, slow=87 |
1.4% | -40.5% | 0.17 | 0.03 | 1.3x | 37 | 64% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=15, mult=3.1 |
0.1% | -2.0% | 0.14 | 0.06 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=72, exitN=94 |
0.3% | -38.5% | 0.09 | 0.01 | 1.1x | 31 | 61% |
| MACD fast=18, slow=47, signal=21 |
-2.7% | -49.4% | -0.15 | -0.06 | 0.6x | 190 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.8% | -53.0% | -0.15 | -0.05 | 0.6x | 176 | 56% |
| Supertrend period=35, mult=3.8 |
-3.9% | -64.0% | -0.20 | -0.06 | 0.5x | 142 | 62% |
| Buy and hold | 3.1% | -54.4% | 0.25 | 0.06 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (3× volatility)
- Sell — Sell when the close falls back to the 15-day middle average