Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers CSI300 Swap UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers CSI300 Swap UCITS ETF Capitalisation 1C. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.6%, MDD -23.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.0%, drawdown -52.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -28.3%, Sharpe 0.56, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 7.6%, MDD -23.3%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=61, exitN=56 |
9.1% | -28.3% | 0.56 | 0.32 | 3.4x | 26 | 51% |
| 볼린저 밴드 돌파 n=50, k=2 |
7.6% | -23.3% | 0.52 | 0.33 | 2.8x | 54 | 35% |
| ADX / DI 방향성 period=33, threshold=16 |
6.1% | -31.8% | 0.48 | 0.19 | 2.3x | 26 | 15% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=3.8 |
6.2% | -30.6% | 0.46 | 0.20 | 2.4x | 42 | 29% |
| EMA 크로스오버 fast=119, slow=203 |
6.7% | -47.7% | 0.40 | 0.14 | 2.5x | 7 | 56% |
| SMA 크로스오버 fast=48, slow=104 |
5.9% | -47.8% | 0.38 | 0.12 | 2.3x | 40 | 55% |
| Supertrend period=3, mult=4.7 |
4.3% | -46.5% | 0.32 | 0.09 | 1.8x | 76 | 54% |
| Parabolic SAR step=0.02, maxStep=0.02 |
4.2% | -57.3% | 0.31 | 0.07 | 1.8x | 76 | 54% |
| MACD fast=30, slow=51, signal=28 |
1.8% | -44.5% | 0.19 | 0.04 | 1.3x | 108 | 51% |
| ROC 모멘텀 n=103, threshold=-0.02 |
1.0% | -62.3% | 0.15 | 0.02 | 1.2x | 136 | 62% |
| Buy and hold | 6.0% | -52.3% | 0.35 | 0.11 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 61 days
- Sell — Sell when price breaks below the lowest low of the last 56 days