Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World Quality UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World Quality UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.1%, MDD -24.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.4%, drawdown -32.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.8%, MDD -26.9%, Sharpe 0.76, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 5.3%p (CAGR 9.1%, MDD -24.7%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=23, threshold=-0.11 |
11.8% | -26.9% | 0.76 | 0.44 | 3.8x | 13 | 98% |
| Donchian 채널 돌파 entryN=16, exitN=78 |
9.1% | -24.7% | 0.65 | 0.37 | 2.8x | 27 | 88% |
| SMA 크로스오버 fast=69, slow=135 |
6.3% | -32.2% | 0.49 | 0.20 | 2.1x | 19 | 71% |
| EMA 크로스오버 fast=22, slow=74 |
5.6% | -28.5% | 0.47 | 0.20 | 1.9x | 33 | 74% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.4% | -20.4% | 0.33 | 0.17 | 1.5x | 55 | 69% |
| 볼린저 밴드 돌파 n=78, k=1.8 |
2.6% | -21.2% | 0.29 | 0.12 | 1.4x | 41 | 51% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=26, mult=4 |
1.9% | -21.1% | 0.23 | 0.09 | 1.2x | 41 | 47% |
| Supertrend period=26, mult=3.2 |
2.0% | -32.1% | 0.22 | 0.06 | 1.3x | 125 | 69% |
| ADX / DI 방향성 period=30, threshold=32 |
0.2% | -2.4% | 0.17 | 0.09 | 1.0x | 2 | 1% |
| MACD fast=24, slow=37, signal=27 |
1.1% | -27.5% | 0.15 | 0.04 | 1.1x | 114 | 52% |
| Buy and hold | 9.4% | -32.2% | 0.54 | 0.29 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 23-day return is greater than -11%
- Sell — Sell when the 23-day return drops to -11% or below