Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares MSCI Europe InformationTechnology Sector UCITS ETF AccumEUR backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Europe InformationTechnology Sector UCITS ETF AccumEUR. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -27.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.5%, drawdown -38.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -27.0%, Sharpe 0.65, 73% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 11.4%p (CAGR 12.3%, MDD -27.0%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=34, exitN=63 |
12.3% | -27.0% | 0.65 | 0.46 | 2.0x | 11 | 73% |
| ADX / DI 방향성 period=13, threshold=35 |
3.9% | -10.4% | 0.61 | 0.38 | 1.3x | 12 | 9% |
| EMA 크로스오버 fast=36, slow=89 |
10.3% | -24.9% | 0.60 | 0.41 | 1.8x | 11 | 63% |
| SMA 크로스오버 fast=17, slow=94 |
9.2% | -24.6% | 0.55 | 0.37 | 1.7x | 15 | 62% |
| 볼린저 밴드 돌파 n=29, k=2.1 |
5.8% | -13.3% | 0.49 | 0.43 | 1.4x | 32 | 30% |
| Supertrend period=21, mult=3.5 |
6.5% | -22.1% | 0.45 | 0.30 | 1.4x | 47 | 56% |
| ROC 모멘텀 n=122, threshold=-0.02 |
7.0% | -32.0% | 0.44 | 0.22 | 1.5x | 35 | 65% |
| MACD fast=20, slow=57, signal=16 |
5.8% | -27.8% | 0.42 | 0.21 | 1.4x | 58 | 47% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=2.1 |
5.0% | -18.2% | 0.42 | 0.27 | 1.3x | 42 | 37% |
| Parabolic SAR step=0.01, maxStep=0.32 |
0.9% | -39.3% | 0.14 | 0.02 | 1.1x | 86 | 54% |
| Buy and hold | 15.5% | -38.3% | 0.68 | 0.40 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 34 days
- Sell — Sell when price breaks below the lowest low of the last 63 days