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. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.3%, MDD -35.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -46.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.3%, MDD -35.0%, Sharpe 0.48, 94% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 7.3%, MDD -35.0%, exposure 94%).
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 n=48, threshold=-0.12 |
7.3% | -35.0% | 0.48 | 0.21 | 3.6x | 39 | 94% |
| SMA 크로스오버 fast=58, slow=91 |
5.6% | -27.4% | 0.46 | 0.21 | 2.7x | 51 | 65% |
| Donchian 채널 돌파 entryN=87, exitN=52 |
4.2% | -25.6% | 0.41 | 0.17 | 2.1x | 31 | 58% |
| EMA 크로스오버 fast=22, slow=157 |
4.8% | -26.3% | 0.40 | 0.18 | 2.3x | 35 | 73% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
0.7% | -2.8% | 0.37 | 0.24 | 1.1x | 2 | 3% |
| ADX / DI 방향성 period=37, threshold=21 |
0.4% | -3.4% | 0.23 | 0.12 | 1.1x | 8 | 3% |
| MACD fast=21, slow=53, signal=19 |
0.2% | -35.5% | 0.08 | 0.01 | 1.0x | 182 | 51% |
| Supertrend period=36, mult=4.5 |
-0.1% | -49.4% | 0.06 | -0.00 | 1.0x | 95 | 66% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=27, mult=3.4 |
0.2% | -17.9% | 0.06 | 0.01 | 1.0x | 48 | 16% |
| Parabolic SAR step=0.01, maxStep=0.04 |
-1.9% | -42.7% | -0.07 | -0.04 | 0.7x | 184 | 62% |
| Buy and hold | 6.8% | -46.7% | 0.41 | 0.15 | 3.3x | 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 48-day return is greater than -12%
- Sell — Sell when the 48-day return drops to -12% or below