Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers EURO STOXX 50 UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers EURO STOXX 50 UCITS ETF Capitalisation 1C. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.8%, MDD -26.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -46.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -26.8%, Sharpe 0.47, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 19.9%p (CAGR 5.8%, MDD -26.8%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=88 |
5.8% | -26.8% | 0.47 | 0.22 | 2.8x | 51 | 64% |
| EMA 크로스오버 fast=22, slow=162 |
4.9% | -26.3% | 0.40 | 0.19 | 2.4x | 35 | 73% |
| Donchian 채널 돌파 entryN=82, exitN=79 |
4.2% | -25.3% | 0.39 | 0.16 | 2.1x | 27 | 62% |
| ROC 모멘텀 n=128, threshold=-0.03 |
2.7% | -41.1% | 0.25 | 0.07 | 1.6x | 105 | 77% |
| ADX / DI 방향성 period=37, threshold=21 |
0.4% | -3.4% | 0.23 | 0.12 | 1.1x | 8 | 3% |
| 볼린저 밴드 돌파 n=28, k=2.6 |
0.7% | -9.0% | 0.17 | 0.07 | 1.1x | 26 | 9% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=9, mult=3 |
0.4% | -18.6% | 0.09 | 0.02 | 1.1x | 66 | 20% |
| MACD fast=22, slow=42, signal=20 |
0.2% | -36.7% | 0.08 | 0.01 | 1.0x | 184 | 51% |
| Supertrend period=36, mult=3.9 |
-0.6% | -50.0% | 0.03 | -0.01 | 0.9x | 119 | 66% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-1.8% | -50.8% | -0.06 | -0.04 | 0.7x | 109 | 65% |
| Buy and hold | 7.0% | -46.7% | 0.42 | 0.15 | 3.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 58-day average falls below the 88-day average