Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares EURO STOXX Banks 30-15 UCITS ETF (DE) Anteile backtest
10 trend-following strategies were compared on the full daily history of iShares EURO STOXX Banks 30-15 UCITS ETF (DE) Anteile. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -6.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.6%, drawdown -88.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.3%, MDD -45.6%, Sharpe 0.43, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 0.9%, MDD -6.4%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=14, slow=113 |
6.3% | -45.6% | 0.43 | 0.14 | 3.1x | 47 | 53% |
| Donchian 채널 돌파 entryN=84, exitN=63 |
5.8% | -44.3% | 0.41 | 0.13 | 2.9x | 27 | 48% |
| SMA 크로스오버 fast=8, slow=136 |
5.4% | -46.9% | 0.38 | 0.12 | 2.7x | 61 | 53% |
| 볼린저 밴드 돌파 n=21, k=3.1 |
0.9% | -6.4% | 0.32 | 0.14 | 1.2x | 4 | 1% |
| ROC 모멘텀 n=126, threshold=0.04 |
3.7% | -64.5% | 0.30 | 0.06 | 2.0x | 137 | 44% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=9, mult=3.1 |
2.5% | -41.7% | 0.24 | 0.06 | 1.6x | 65 | 33% |
| ADX / DI 방향성 period=38, threshold=14 |
1.5% | -36.9% | 0.19 | 0.04 | 1.3x | 72 | 15% |
| Supertrend period=29, mult=4.9 |
1.0% | -62.2% | 0.15 | 0.02 | 1.2x | 73 | 55% |
| MACD fast=23, slow=56, signal=14 |
-0.7% | -70.6% | 0.07 | -0.01 | 0.9x | 190 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.3% | -72.7% | -0.01 | -0.03 | 0.7x | 176 | 54% |
| Buy and hold | -1.6% | -88.2% | 0.12 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 113-day EMA
- Sell — Sell when the 14-day EMA falls below the 113-day EMA