Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers Spanish Equity UCITS ETF (DR) Distribution 1D backtest
10 trend-following strategies were compared on the full daily history of Xtrackers Spanish Equity UCITS ETF (DR) Distribution 1D. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.1%, drawdown -44.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -11.4%, Sharpe 0.56, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.9%, MDD -42.6%, exposure 56%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=49, k=3.1 |
2.8% | -11.4% | 0.56 | 0.24 | 1.4x | 13 | 12% |
| Donchian 채널 돌파 entryN=108, exitN=84 |
4.6% | -25.7% | 0.45 | 0.18 | 1.8x | 19 | 50% |
| EMA 크로스오버 fast=13, slow=277 |
4.9% | -34.5% | 0.45 | 0.14 | 1.8x | 23 | 58% |
| SMA 크로스오버 fast=74, slow=203 |
4.9% | -42.6% | 0.42 | 0.12 | 1.8x | 13 | 56% |
| ROC 모멘텀 n=119, threshold=0.01 |
2.7% | -39.4% | 0.27 | 0.07 | 1.4x | 113 | 57% |
| ADX / DI 방향성 period=38, threshold=12 |
0.5% | -24.8% | 0.10 | 0.02 | 1.1x | 57 | 31% |
| Supertrend period=23, mult=4.1 |
-3.0% | -58.0% | -0.17 | -0.05 | 0.7x | 127 | 59% |
| MACD fast=16, slow=44, signal=18 |
-3.3% | -52.0% | -0.23 | -0.06 | 0.7x | 146 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=1.9 |
-3.0% | -61.4% | -0.24 | -0.05 | 0.7x | 107 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.7% | -65.7% | -0.33 | -0.07 | 0.5x | 207 | 56% |
| Buy and hold | 7.1% | -44.5% | 0.46 | 0.16 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 49-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 49-day middle average