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.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.2%, drawdown -54.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.3%, MDD -10.6%, Sharpe 0.26, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.3%, MDD -29.9%, exposure 62%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=2.5 |
1.3% | -10.6% | 0.26 | 0.12 | 1.3x | 20 | 13% |
| SMA 크로스오버 fast=18, slow=217 |
2.3% | -29.9% | 0.23 | 0.08 | 1.5x | 33 | 62% |
| EMA 크로스오버 fast=47, slow=154 |
1.2% | -36.2% | 0.15 | 0.03 | 1.2x | 29 | 64% |
| ADX / DI 방향성 period=27, threshold=31 |
0.1% | -3.1% | 0.11 | 0.03 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=194, threshold=-0.08 |
0.3% | -54.5% | 0.10 | 0.01 | 1.1x | 85 | 76% |
| Donchian 채널 돌파 entryN=78, exitN=71 |
0.0% | -32.6% | 0.06 | 0.00 | 1.0x | 35 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=20, mult=3.8 |
-0.9% | -29.6% | -0.07 | -0.03 | 0.9x | 59 | 26% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.8% | -53.0% | -0.15 | -0.05 | 0.6x | 174 | 56% |
| MACD fast=16, slow=54, signal=22 |
-2.8% | -50.7% | -0.16 | -0.06 | 0.6x | 190 | 51% |
| Supertrend period=20, mult=2.6 |
-4.9% | -68.8% | -0.28 | -0.07 | 0.4x | 232 | 59% |
| Buy and hold | 3.2% | -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 53-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 53-day middle average