Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World UCITS ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.7%, MDD -23.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -33.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.1%, MDD -32.4%, Sharpe 0.85, 99% 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 0.2%p lower than buy and hold, while drawdown improves by 1.1%p (CAGR 9.7%, MDD -23.2%, exposure 87%).
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 99% n=10, threshold=-0.09 |
12.1% | -32.4% | 0.85 | 0.37 | 3.9x | 15 | 99% |
| Donchian 채널 돌파 entryN=18, exitN=72 |
9.7% | -23.2% | 0.80 | 0.42 | 3.0x | 25 | 87% |
| EMA 크로스오버 fast=12, slow=104 |
7.3% | -21.6% | 0.69 | 0.34 | 2.3x | 33 | 75% |
| MACD fast=34, slow=108, signal=24 |
4.8% | -16.4% | 0.56 | 0.29 | 1.8x | 66 | 54% |
| SMA 크로스오버 fast=52, slow=104 |
5.9% | -32.1% | 0.54 | 0.18 | 2.0x | 21 | 72% |
| Supertrend period=24, mult=3.2 |
4.3% | -19.9% | 0.45 | 0.21 | 1.6x | 105 | 68% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=30, mult=3.5 |
3.1% | -12.9% | 0.43 | 0.24 | 1.4x | 47 | 46% |
| 볼린저 밴드 돌파 n=25, k=3.1 |
0.4% | -3.0% | 0.32 | 0.14 | 1.1x | 2 | 2% |
| ADX / DI 방향성 period=28, threshold=34 |
0.2% | -1.9% | 0.19 | 0.10 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.4% | -30.5% | 0.19 | 0.05 | 1.2x | 118 | 63% |
| Buy and hold | 12.3% | -33.6% | 0.80 | 0.37 | 4.0x | 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 10-day return is greater than -9%
- Sell — Sell when the 10-day return drops to -9% or below