Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World Momentum UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World Momentum UCITS ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -30.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -30.9%, Sharpe 0.60, 74% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=117 |
9.1% | -30.9% | 0.60 | 0.29 | 2.8x | 19 | 74% |
| Donchian 채널 돌파 entryN=43, exitN=57 |
8.3% | -27.0% | 0.59 | 0.31 | 2.6x | 23 | 76% |
| ADX / DI 방향성 period=23, threshold=32 |
1.0% | -2.5% | 0.48 | 0.41 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=38, slow=109 |
6.7% | -28.0% | 0.48 | 0.24 | 2.2x | 21 | 76% |
| ROC 모멘텀 n=50, threshold=-0.04 |
6.5% | -31.5% | 0.46 | 0.21 | 2.1x | 85 | 84% |
| Supertrend period=44, mult=3.9 |
4.3% | -33.7% | 0.35 | 0.13 | 1.6x | 92 | 68% |
| Parabolic SAR step=0.02, maxStep=0.02 |
3.3% | -29.2% | 0.26 | 0.11 | 1.5x | 68 | 67% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=1.4 |
2.2% | -28.3% | 0.23 | 0.08 | 1.3x | 104 | 59% |
| 볼린저 밴드 돌파 n=50, k=1.6 |
2.1% | -26.2% | 0.23 | 0.08 | 1.3x | 70 | 48% |
| MACD fast=18, slow=54, signal=17 |
-0.7% | -33.7% | 0.00 | -0.02 | 0.9x | 150 | 52% |
| Buy and hold | 11.3% | -30.9% | 0.51 | 0.37 | 3.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 38-day average price crosses above the 117-day average
- Sell — Sell (to cash) when the 38-day average falls below the 117-day average