Trend-Following Backtester · Guide · backtest 한국어

etf · DE

iShares Core EURO STOXX 50 UCITS ETF (DE) backtest

10 trend-following strategies were compared on the full daily history of iShares Core EURO STOXX 50 UCITS ETF (DE). 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.6%, MDD -38.3%).

Data 2008-01-02 ~ 2026-07-31daily bars 4,718 (18.6 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 2.1%, drawdown -58.3%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.3%, MDD -1.6%, Sharpe 0.40, 1% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 2.6%, MDD -38.3%, exposure 68%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 56.7%p (CAGR 2.6%, MDD -38.3%, exposure 68%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=17, k=3.2
0.3%-1.6%0.400.161.0x21%
Donchian 채널 돌파
entryN=88, exitN=181
2.6%-38.3%0.250.071.6x1568%
ADX / DI 방향성
period=27, threshold=30
0.2%-3.2%0.190.071.0x21%
EMA 크로스오버
fast=56, slow=92
1.7%-28.6%0.190.061.4x3964%
SMA 크로스오버
fast=47, slow=200
1.3%-45.4%0.160.031.3x2563%
Keltner 채널 돌파
emaPeriod=8, atrPeriod=17, mult=3
0.1%-1.6%0.110.041.0x20%
ROC 모멘텀
n=113, threshold=-0.04
-0.5%-48.8%0.03-0.010.9x14571%
Supertrend
period=29, mult=3.6
-3.7%-64.9%-0.19-0.060.5x13362%
MACD
fast=16, slow=53, signal=16
-4.0%-59.9%-0.25-0.070.5x22851%
Parabolic SAR
step=0.005, maxStep=0.24
-4.1%-61.3%-0.26-0.070.5x17857%
Buy and hold2.1%-58.3%0.200.041.5x1100%
1x 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -15% -29% -44% -58% 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -1.6% (2017-01-06 → 2017-01-13), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next