Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares STOXX Europe 600 Insurance UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares STOXX Europe 600 Insurance UCITS ETF (DE). 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.6%, MDD -47.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.3%, drawdown -69.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.6%, MDD -47.1%, Sharpe 0.45, 85% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 6.6%, MDD -47.1%, exposure 85%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=126, threshold=-0.11 |
6.6% | -47.1% | 0.45 | 0.14 | 3.3x | 55 | 85% |
| SMA 크로스오버 fast=77, slow=182 |
5.5% | -49.1% | 0.41 | 0.11 | 2.7x | 23 | 67% |
| EMA 크로스오버 fast=59, slow=147 |
3.6% | -41.8% | 0.32 | 0.09 | 1.9x | 21 | 69% |
| Donchian 채널 돌파 entryN=96, exitN=72 |
1.5% | -35.6% | 0.18 | 0.04 | 1.3x | 33 | 52% |
| ADX / DI 방향성 period=38, threshold=22 |
0.0% | -10.0% | 0.03 | 0.00 | 1.0x | 4 | 1% |
| 볼린저 밴드 돌파 n=37, k=1.9 |
-1.5% | -43.6% | -0.09 | -0.03 | 0.8x | 113 | 32% |
| MACD fast=19, slow=54, signal=16 |
-2.8% | -48.5% | -0.12 | -0.06 | 0.6x | 216 | 50% |
| Supertrend period=14, mult=2.2 |
-4.5% | -61.5% | -0.18 | -0.07 | 0.4x | 321 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=2.9 |
-2.7% | -50.0% | -0.21 | -0.05 | 0.6x | 103 | 40% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.5% | -61.0% | -0.22 | -0.07 | 0.4x | 175 | 57% |
| Buy and hold | 4.3% | -69.5% | 0.29 | 0.06 | 2.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 126-day return is greater than -11%
- Sell — Sell when the 126-day return drops to -11% or below