Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World Consumer Staples UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World Consumer Staples UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -22.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.4%, MDD -18.1%, Sharpe 0.60, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.07 |
6.4% | -18.1% | 0.60 | 0.36 | 1.9x | 9 | 99% |
| Donchian 채널 돌파 entryN=13, exitN=85 |
4.3% | -18.1% | 0.44 | 0.23 | 1.5x | 19 | 90% |
| EMA 크로스오버 fast=53, slow=206 |
1.5% | -21.4% | 0.19 | 0.07 | 1.2x | 15 | 69% |
| Supertrend period=13, mult=3.6 |
1.3% | -26.6% | 0.19 | 0.05 | 1.1x | 65 | 60% |
| SMA 크로스오버 fast=15, slow=130 |
0.8% | -22.3% | 0.13 | 0.04 | 1.1x | 33 | 63% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=3.5 |
0.1% | -2.5% | 0.04 | 0.02 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-0.4% | -31.9% | -0.00 | -0.01 | 1.0x | 63 | 61% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
-0.1% | -5.8% | -0.08 | -0.03 | 1.0x | 2 | 1% |
| MACD fast=31, slow=73, signal=22 |
-1.1% | -26.4% | -0.10 | -0.04 | 0.9x | 69 | 52% |
| ADX / DI 방향성 period=24, threshold=24 |
-0.5% | -9.8% | -0.22 | -0.05 | 1.0x | 16 | 4% |
| Buy and hold | 5.8% | -22.9% | 0.52 | 0.25 | 1.8x | 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 -7%
- Sell — Sell when the 10-day return drops to -7% or below