Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World Energy UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World Energy UCITS ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.6%, MDD -30.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -61.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.8%, MDD -35.8%, Sharpe 0.73, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 8.6%, MDD -30.4%, exposure 62%).
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 Hold-like · Exposure 98% entryN=2, exitN=165 |
15.8% | -35.8% | 0.73 | 0.44 | 4.6x | 13 | 98% |
| 볼린저 밴드 돌파 n=40, k=2.8 |
5.5% | -11.8% | 0.64 | 0.47 | 1.8x | 12 | 12% |
| SMA 크로스오버 fast=23, slow=144 |
8.5% | -35.5% | 0.56 | 0.24 | 2.3x | 23 | 59% |
| EMA 크로스오버 fast=43, slow=75 |
8.6% | -30.4% | 0.55 | 0.28 | 2.4x | 23 | 62% |
| Supertrend period=27, mult=4.3 |
8.3% | -31.8% | 0.54 | 0.26 | 2.3x | 53 | 52% |
| ROC 모멘텀 n=97, threshold=-0.04 |
4.9% | -46.9% | 0.35 | 0.10 | 1.7x | 75 | 71% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=2.5 |
2.3% | -13.9% | 0.34 | 0.17 | 1.3x | 36 | 10% |
| ADX / DI 방향성 period=32, threshold=14 |
3.2% | -24.4% | 0.31 | 0.13 | 1.4x | 51 | 27% |
| MACD fast=7, slow=50, signal=10 |
1.9% | -39.6% | 0.19 | 0.05 | 1.2x | 200 | 51% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-0.2% | -39.7% | 0.08 | -0.01 | 1.0x | 252 | 55% |
| Buy and hold | 9.9% | -61.4% | 0.49 | 0.16 | 2.7x | 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 2 days
- Sell — Sell when price breaks below the lowest low of the last 165 days