Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares STOXX Europe 600 Utilities UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares STOXX Europe 600 Utilities UCITS ETF (DE). 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.0%, drawdown -56.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.28, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.1%, MDD -40.0%, exposure 82%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 56.2%p (CAGR 0.3%, MDD -0.5%, exposure 0%).
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=4, threshold=0.14 |
0.3% | -0.5% | 0.28 | 0.52 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=32, k=3.1 |
0.9% | -12.5% | 0.27 | 0.07 | 1.2x | 14 | 5% |
| Donchian 채널 돌파 entryN=21, exitN=97 |
1.1% | -40.0% | 0.15 | 0.03 | 1.2x | 36 | 82% |
| SMA 크로스오버 fast=58, slow=136 |
-0.3% | -40.5% | 0.04 | -0.01 | 0.9x | 40 | 58% |
| ADX / DI 방향성 period=23, threshold=30 |
-0.1% | -14.4% | -0.03 | -0.01 | 1.0x | 12 | 3% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=23, mult=3.8 |
-0.2% | -17.6% | -0.05 | -0.01 | 1.0x | 10 | 2% |
| EMA 크로스오버 fast=44, slow=212 |
-1.4% | -45.5% | -0.05 | -0.03 | 0.8x | 31 | 54% |
| MACD fast=19, slow=49, signal=22 |
-3.0% | -63.6% | -0.19 | -0.05 | 0.6x | 186 | 50% |
| Supertrend period=15, mult=4.2 |
-4.7% | -69.1% | -0.31 | -0.07 | 0.4x | 118 | 55% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.6% | -65.5% | -0.34 | -0.07 | 0.4x | 168 | 53% |
| Buy and hold | -0.0% | -56.7% | 0.10 | -0.00 | 1.0x | 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 4-day return is greater than 14%
- Sell — Sell when the 4-day return drops to 14% or below