Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares eb.rexx Government Germany 0-1yr UCITS ETF (DE) EUR (Dist) Anteile backtest
10 trend-following strategies were compared on the full daily history of iShares eb.rexx Government Germany 0-1yr UCITS ETF (DE) EUR (Dist) Anteile. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.2%, drawdown -26.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.1%, MDD -0.6%, Sharpe 0.46, 3% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR -0.0%, MDD -0.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=9, mult=4 |
0.1% | -0.6% | 0.46 | 0.19 | 1.0x | 2 | 3% |
| EMA 크로스오버 fast=35, slow=215 |
-0.0% | -5.0% | 0.00 | -0.00 | 1.0x | 3 | 19% |
| ROC 모멘텀 n=96, threshold=0.02 |
-0.0% | -0.5% | -0.10 | -0.03 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=61, slow=104 |
-0.2% | -9.6% | -0.20 | -0.03 | 1.0x | 9 | 29% |
| Donchian 채널 돌파 entryN=111, exitN=51 |
-0.3% | -10.9% | -0.26 | -0.03 | 0.9x | 7 | 24% |
| Supertrend period=2, mult=5 |
-0.5% | -14.3% | -0.31 | -0.03 | 0.9x | 15 | 34% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
-0.2% | -3.1% | -0.34 | -0.06 | 1.0x | 4 | 1% |
| ADX / DI 방향성 period=29, threshold=31 |
-0.4% | -8.7% | -0.55 | -0.05 | 0.9x | 20 | 15% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-1.5% | -25.9% | -0.88 | -0.06 | 0.8x | 41 | 28% |
| MACD fast=29, slow=56, signal=34 |
-4.8% | -58.9% | -2.45 | -0.08 | 0.4x | 128 | 54% |
| Buy and hold | -1.2% | -26.6% | -0.73 | -0.05 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average