Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers Artificial Intelligence & Big Data UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers Artificial Intelligence & Big Data UCITS ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.9%, MDD -22.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.0%, drawdown -33.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.9%, MDD -22.1%, Sharpe 1.03, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 10.9%p (CAGR 18.9%, MDD -22.1%, exposure 72%).
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=15, slow=180 |
18.9% | -22.1% | 1.03 | 0.85 | 3.7x | 7 | 72% |
| SMA 크로스오버 fast=8, slow=191 |
17.3% | -21.4% | 0.97 | 0.81 | 3.3x | 9 | 71% |
| Supertrend period=36, mult=3.5 |
15.5% | -20.7% | 0.92 | 0.75 | 2.9x | 56 | 63% |
| Donchian 채널 돌파 entryN=15, exitN=63 |
16.0% | -36.4% | 0.85 | 0.44 | 3.0x | 21 | 84% |
| ROC 모멘텀 n=67, threshold=-0.04 |
14.9% | -36.8% | 0.83 | 0.41 | 2.8x | 41 | 78% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=1.4 |
9.6% | -23.3% | 0.63 | 0.41 | 2.0x | 58 | 61% |
| MACD fast=12, slow=57, signal=23 |
8.8% | -22.8% | 0.61 | 0.39 | 1.9x | 76 | 49% |
| Parabolic SAR step=0.01, maxStep=0.3 |
8.8% | -29.7% | 0.58 | 0.29 | 1.9x | 106 | 60% |
| 볼린저 밴드 돌파 n=37, k=1.2 |
8.3% | -22.9% | 0.58 | 0.36 | 1.8x | 64 | 53% |
| ADX / DI 방향성 period=11, threshold=17 |
4.6% | -24.7% | 0.39 | 0.19 | 1.4x | 144 | 48% |
| Buy and hold | 21.0% | -33.1% | 0.94 | 0.64 | 4.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 15-day EMA crosses above the 180-day EMA
- Sell — Sell when the 15-day EMA falls below the 180-day EMA