Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares STOXX Europe 600 Oil & Gas UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares STOXX Europe 600 Oil & Gas UCITS ETF (DE). 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.1%, MDD -9.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.0%, drawdown -66.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -4.9%, Sharpe 0.30, 1% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 1.1%, MDD -9.8%, exposure 4%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 61.9%p (CAGR 1.1%, MDD -9.8%, exposure 4%).
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=21, k=3.4 |
0.5% | -4.9% | 0.30 | 0.09 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=29, mult=3.5 |
1.1% | -9.8% | 0.28 | 0.11 | 1.2x | 20 | 4% |
| Donchian 채널 돌파 entryN=36, exitN=45 |
1.0% | -35.4% | 0.14 | 0.03 | 1.2x | 57 | 55% |
| SMA 크로스오버 fast=23, slow=139 |
0.2% | -45.9% | 0.09 | 0.01 | 1.0x | 47 | 55% |
| Supertrend period=24, mult=4.8 |
-0.3% | -43.9% | 0.06 | -0.01 | 0.9x | 81 | 55% |
| EMA 크로스오버 fast=49, slow=82 |
-0.3% | -42.0% | 0.06 | -0.01 | 0.9x | 47 | 56% |
| ADX / DI 방향성 period=35, threshold=25 |
-0.1% | -3.2% | -0.06 | -0.03 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=110, threshold=-0.03 |
-2.6% | -60.9% | -0.08 | -0.04 | 0.6x | 153 | 66% |
| MACD fast=15, slow=43, signal=18 |
-4.6% | -75.0% | -0.20 | -0.06 | 0.4x | 231 | 51% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-6.8% | -80.2% | -0.34 | -0.08 | 0.3x | 263 | 54% |
| Buy and hold | 1.0% | -66.7% | 0.17 | 0.02 | 1.2x | 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 21-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 21-day middle average