Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares STOXX Europe 600 Food & Beverage UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares STOXX Europe 600 Food & Beverage UCITS ETF (DE). 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -40.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -1.2%, Sharpe 0.31, 1% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.3%, MDD -40.6%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=37 |
0.2% | -1.2% | 0.31 | 0.13 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=35, slow=364 |
2.3% | -40.6% | 0.26 | 0.06 | 1.5x | 19 | 62% |
| SMA 크로스오버 fast=56, slow=189 |
2.2% | -39.7% | 0.26 | 0.06 | 1.5x | 29 | 57% |
| ROC 모멘텀 n=133, threshold=-0.09 |
2.0% | -49.3% | 0.22 | 0.04 | 1.5x | 73 | 87% |
| 볼린저 밴드 돌파 n=38, k=2.8 |
0.8% | -20.9% | 0.21 | 0.04 | 1.2x | 22 | 11% |
| Donchian 채널 돌파 entryN=100, exitN=56 |
1.4% | -35.6% | 0.20 | 0.04 | 1.3x | 32 | 42% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=3.6 |
0.8% | -24.8% | 0.15 | 0.03 | 1.2x | 60 | 25% |
| Supertrend period=16, mult=4.9 |
-0.4% | -48.5% | 0.01 | -0.01 | 0.9x | 89 | 57% |
| MACD fast=19, slow=40, signal=22 |
-2.5% | -46.3% | -0.21 | -0.05 | 0.6x | 202 | 49% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-7.7% | -77.9% | -0.69 | -0.10 | 0.2x | 358 | 55% |
| Buy and hold | 3.6% | -40.1% | 0.30 | 0.09 | 1.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 23-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)