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. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -39.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.5%, drawdown -61.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -39.2%, Sharpe 0.56, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 10.4%, MDD -39.2%, exposure 84%).
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=10, exitN=77 |
10.4% | -39.2% | 0.56 | 0.27 | 2.8x | 33 | 84% |
| SMA 크로스오버 fast=30, slow=116 |
7.8% | -26.8% | 0.53 | 0.29 | 2.2x | 26 | 56% |
| Supertrend period=26, mult=4.3 |
8.0% | -33.0% | 0.52 | 0.24 | 2.2x | 53 | 52% |
| 볼린저 밴드 돌파 n=44, k=2.9 |
4.1% | -12.0% | 0.52 | 0.34 | 1.5x | 10 | 10% |
| EMA 크로스오버 fast=26, slow=112 |
7.7% | -31.7% | 0.50 | 0.24 | 2.1x | 21 | 61% |
| ADX / DI 방향성 period=34, threshold=14 |
5.0% | -21.7% | 0.45 | 0.23 | 1.7x | 40 | 25% |
| ROC 모멘텀 n=143, threshold=0.01 |
3.2% | -43.9% | 0.27 | 0.07 | 1.4x | 69 | 58% |
| MACD fast=8, slow=59, signal=8 |
1.7% | -45.6% | 0.19 | 0.04 | 1.2x | 193 | 51% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=18, mult=1.6 |
1.1% | -35.3% | 0.15 | 0.03 | 1.1x | 99 | 38% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-0.5% | -39.7% | 0.07 | -0.01 | 1.0x | 248 | 55% |
| Buy and hold | 9.5% | -61.4% | 0.48 | 0.15 | 2.5x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 77 days