Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares STOXX Europe 600 Construct & Material UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares STOXX Europe 600 Construct & Material UCITS ETF (DE). 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.3%, MDD -32.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -59.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.2%, MDD -32.1%, Sharpe 0.34, 68% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.3%, MDD -32.9%, exposure 77%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 26.9%p (CAGR 4.3%, MDD -32.9%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=34, slow=132 |
4.2% | -32.1% | 0.34 | 0.13 | 2.2x | 32 | 68% |
| ROC 모멘텀 n=91, threshold=-0.05 |
4.3% | -32.9% | 0.33 | 0.13 | 2.2x | 121 | 77% |
| SMA 크로스오버 fast=33, slow=181 |
3.8% | -43.7% | 0.31 | 0.09 | 2.0x | 33 | 65% |
| 볼린저 밴드 돌파 n=52, k=3 |
0.4% | -4.9% | 0.24 | 0.08 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=29, exitN=65 |
1.1% | -37.7% | 0.15 | 0.03 | 1.2x | 52 | 73% |
| Supertrend period=28, mult=5 |
-1.1% | -39.2% | 0.01 | -0.03 | 0.8x | 115 | 63% |
| ADX / DI 방향성 period=22, threshold=14 |
-1.5% | -35.9% | -0.09 | -0.04 | 0.8x | 184 | 33% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=4 |
-1.5% | -35.2% | -0.10 | -0.04 | 0.8x | 74 | 32% |
| MACD fast=17, slow=43, signal=18 |
-4.9% | -65.4% | -0.27 | -0.08 | 0.4x | 222 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-5.1% | -64.2% | -0.27 | -0.08 | 0.4x | 270 | 57% |
| Buy and hold | 4.6% | -59.0% | 0.31 | 0.08 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 34-day EMA crosses above the 132-day EMA
- Sell — Sell when the 34-day EMA falls below the 132-day EMA