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). 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.9%, MDD -4.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.2%, drawdown -66.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.9%, MDD -4.9%, Sharpe 0.34, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.9%, MDD -35.6%, exposure 58%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 61.9%p (CAGR 0.9%, MDD -4.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=24, mult=3.3 |
0.9% | -4.9% | 0.34 | 0.19 | 1.2x | 4 | 1% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
0.5% | -4.9% | 0.30 | 0.09 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=38, exitN=52 |
1.9% | -35.6% | 0.20 | 0.05 | 1.4x | 49 | 58% |
| SMA 크로스오버 fast=28, slow=218 |
1.6% | -32.4% | 0.18 | 0.05 | 1.3x | 29 | 56% |
| ROC 모멘텀 Hold-like · Exposure 97% n=7, threshold=-0.08 |
0.9% | -65.9% | 0.15 | 0.01 | 1.2x | 89 | 97% |
| EMA 크로스오버 fast=34, slow=128 |
0.6% | -36.2% | 0.11 | 0.02 | 1.1x | 43 | 57% |
| Supertrend period=25, mult=4.8 |
0.2% | -43.9% | 0.09 | 0.00 | 1.0x | 81 | 56% |
| ADX / DI 방향성 period=14, threshold=35 |
-0.0% | -17.6% | 0.02 | -0.00 | 1.0x | 26 | 4% |
| MACD fast=29, slow=41, signal=20 |
-4.3% | -73.1% | -0.19 | -0.06 | 0.4x | 181 | 50% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-6.7% | -80.2% | -0.34 | -0.08 | 0.3x | 265 | 54% |
| Buy and hold | 1.2% | -66.7% | 0.17 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 10-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average