Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares EURO STOXX UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares EURO STOXX UCITS ETF (DE). 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.8%, MDD -31.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.7%, drawdown -58.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -1.5%, Sharpe 0.36, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.4%, MDD -46.5%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 56.8%p (CAGR 2.8%, MDD -31.3%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=3.1 |
0.2% | -1.5% | 0.36 | 0.16 | 1.0x | 2 | 1% |
| ROC 모멘텀 Hold-like · Exposure 98% n=17, threshold=-0.14 |
4.4% | -46.5% | 0.32 | 0.10 | 2.2x | 17 | 98% |
| SMA 크로스오버 fast=61, slow=139 |
3.2% | -43.0% | 0.30 | 0.07 | 1.8x | 31 | 63% |
| EMA 크로스오버 fast=47, slow=118 |
2.8% | -31.3% | 0.28 | 0.09 | 1.7x | 29 | 66% |
| ADX / DI 방향성 period=35, threshold=25 |
0.2% | -3.0% | 0.19 | 0.07 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=11, exitN=88 |
0.9% | -51.2% | 0.13 | 0.02 | 1.2x | 55 | 87% |
| Parabolic SAR step=0.015, maxStep=0.02 |
-0.1% | -37.4% | 0.06 | -0.00 | 1.0x | 105 | 63% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=15, mult=2.6 |
0.1% | -10.3% | 0.04 | 0.01 | 1.0x | 30 | 6% |
| Supertrend period=28, mult=3.8 |
-2.6% | -58.6% | -0.13 | -0.04 | 0.6x | 141 | 61% |
| MACD fast=19, slow=51, signal=18 |
-2.7% | -50.1% | -0.16 | -0.05 | 0.6x | 196 | 52% |
| Buy and hold | 2.7% | -58.3% | 0.23 | 0.05 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 16-day middle average