Trend-Following Backtester · Guide · backtest 한국어
etf · DE
UBS MSCI EM Socially Responsible UCITS ETF USD dis Distribution backtest
10 trend-following strategies were compared on the full daily history of UBS MSCI EM Socially Responsible UCITS ETF USD dis Distribution. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.5%, MDD -21.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.6%, drawdown -44.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.5%, MDD -21.0%, Sharpe 0.38, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 4.5%, MDD -21.0%, exposure 55%).
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=31, slow=197 |
4.5% | -21.0% | 0.38 | 0.21 | 1.7x | 13 | 55% |
| SMA 크로스오버 fast=16, slow=250 |
3.9% | -22.5% | 0.34 | 0.17 | 1.6x | 13 | 54% |
| Donchian 채널 돌파 entryN=142, exitN=72 |
2.3% | -31.1% | 0.25 | 0.08 | 1.3x | 17 | 39% |
| 볼린저 밴드 돌파 n=27, k=2.5 |
1.3% | -14.7% | 0.19 | 0.09 | 1.2x | 36 | 16% |
| ROC 모멘텀 n=131, threshold=0.16 |
1.3% | -19.0% | 0.18 | 0.07 | 1.2x | 35 | 13% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=15, mult=4 |
1.1% | -16.7% | 0.18 | 0.07 | 1.1x | 18 | 8% |
| Supertrend period=14, mult=4.9 |
-3.1% | -63.6% | 0.04 | -0.05 | 0.7x | 64 | 52% |
| ADX / DI 방향성 period=32, threshold=23 |
-0.1% | -7.4% | -0.06 | -0.02 | 1.0x | 2 | 1% |
| MACD fast=21, slow=56, signal=14 |
-3.0% | -56.6% | -0.15 | -0.05 | 0.7x | 142 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-10.8% | -81.7% | -0.34 | -0.13 | 0.3x | 108 | 54% |
| Buy and hold | 2.6% | -44.4% | 0.25 | 0.06 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 197-day EMA
- Sell — Sell when the 31-day EMA falls below the 197-day EMA