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. 0 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 4.5%, MDD -15.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.4%, drawdown -22.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.2%, MDD -19.1%, Sharpe 0.50, 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 0.2%p lower than buy and hold, while drawdown improves by 3.8%p (CAGR 4.5%, MDD -15.7%, exposure 92%).
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=11, threshold=-0.06 |
5.2% | -19.1% | 0.50 | 0.27 | 1.7x | 19 | 98% |
| Donchian 채널 돌파 entryN=7, exitN=87 |
4.5% | -15.7% | 0.46 | 0.29 | 1.6x | 21 | 92% |
| SMA 크로스오버 fast=56, slow=202 |
2.4% | -22.9% | 0.29 | 0.11 | 1.3x | 15 | 63% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=14, mult=2.4 |
0.2% | -1.8% | 0.20 | 0.11 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=59, slow=189 |
1.5% | -21.4% | 0.19 | 0.07 | 1.2x | 15 | 69% |
| Supertrend period=22, mult=4 |
1.0% | -24.0% | 0.16 | 0.04 | 1.1x | 58 | 62% |
| ADX / DI 방향성 period=32, threshold=23 |
-0.0% | -1.2% | 0.00 | -0.00 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=53, k=3.4 |
-0.0% | -7.4% | -0.01 | -0.01 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-0.5% | -31.9% | -0.02 | -0.02 | 0.9x | 64 | 60% |
| MACD fast=24, slow=99, signal=24 |
-1.0% | -25.7% | -0.08 | -0.04 | 0.9x | 72 | 52% |
| Buy and hold | 5.4% | -22.9% | 0.49 | 0.24 | 1.7x | 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 11-day return is greater than -6%
- Sell — Sell when the 11-day return drops to -6% or below