Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares STOXX Europe Select Dividend 30 UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares STOXX Europe Select Dividend 30 UCITS ETF (DE). 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -5.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.7%, drawdown -68.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.2%, MDD -33.5%, Sharpe 0.27, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR -0.0%, MDD -5.3%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=72, exitN=56 |
2.2% | -33.5% | 0.27 | 0.07 | 1.5x | 35 | 46% |
| SMA 크로스오버 fast=58, slow=169 |
1.5% | -55.2% | 0.19 | 0.03 | 1.3x | 39 | 56% |
| 볼린저 밴드 돌파 n=44, k=2.8 |
0.6% | -10.9% | 0.16 | 0.06 | 1.1x | 22 | 11% |
| ROC 모멘텀 n=151, threshold=0.07 |
0.1% | -38.6% | 0.05 | 0.00 | 1.0x | 115 | 30% |
| EMA 크로스오버 fast=69, slow=197 |
-0.5% | -54.5% | 0.01 | -0.01 | 0.9x | 27 | 55% |
| ADX / DI 방향성 period=20, threshold=38 |
-0.0% | -5.3% | -0.02 | -0.00 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=3.8 |
-0.5% | -40.1% | -0.04 | -0.01 | 0.9x | 57 | 26% |
| Supertrend period=34, mult=4.6 |
-3.0% | -58.5% | -0.18 | -0.05 | 0.6x | 107 | 56% |
| MACD fast=24, slow=50, signal=23 |
-4.2% | -68.3% | -0.27 | -0.06 | 0.4x | 176 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-6.0% | -73.5% | -0.45 | -0.08 | 0.3x | 179 | 54% |
| Buy and hold | -0.7% | -68.9% | 0.06 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 72 days
- Sell — Sell when price breaks below the lowest low of the last 56 days