Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares MSCIEurope Health Care Sector UCITS ETF AccumEUR backtest
10 trend-following strategies were compared on the full daily history of iShares MSCIEurope Health Care Sector UCITS ETF AccumEUR. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -26.7%).
Sharpe leader (same as main): Supertrend — CAGR 4.7%, MDD -15.6%, Sharpe 0.45, 64% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.7%, MDD -17.0%, exposure 70%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.4 |
4.7% | -15.6% | 0.45 | 0.30 | 1.3x | 29 | 64% |
| EMA 크로스오버 fast=104, slow=108 |
4.7% | -17.0% | 0.43 | 0.28 | 1.3x | 7 | 70% |
| Donchian 채널 돌파 entryN=17, exitN=22 |
4.0% | -17.6% | 0.41 | 0.23 | 1.2x | 33 | 60% |
| 볼린저 밴드 돌파 n=47, k=3.2 |
0.9% | -7.2% | 0.28 | 0.13 | 1.1x | 4 | 9% |
| SMA 크로스오버 fast=45, slow=225 |
1.7% | -21.0% | 0.20 | 0.08 | 1.1x | 7 | 61% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=10, mult=3.4 |
0.6% | -5.8% | 0.18 | 0.10 | 1.0x | 10 | 9% |
| ROC 모멘텀 n=116, threshold=-0.02 |
1.0% | -21.6% | 0.14 | 0.04 | 1.1x | 40 | 67% |
| ADX / DI 방향성 period=26, threshold=20 |
-0.3% | -12.0% | -0.06 | -0.03 | 1.0x | 12 | 10% |
| MACD fast=17, slow=59, signal=17 |
-2.7% | -31.4% | -0.20 | -0.09 | 0.9x | 63 | 52% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-3.1% | -30.7% | -0.24 | -0.10 | 0.8x | 127 | 57% |
| Buy and hold | 6.9% | -26.7% | 0.50 | 0.26 | 1.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)