Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers Russell 2000 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers Russell 2000 UCITS ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 7.2%, drawdown -41.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -36.5%, Sharpe 0.49, 81% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.9%, MDD -35.3%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=47 |
8.0% | -36.5% | 0.49 | 0.22 | 2.4x | 38 | 81% |
| ROC 모멘텀 Hold-like · Exposure 99% n=15, threshold=-0.15 |
8.9% | -35.3% | 0.49 | 0.25 | 2.7x | 9 | 99% |
| Supertrend period=19, mult=5 |
4.7% | -25.5% | 0.36 | 0.19 | 1.7x | 48 | 57% |
| SMA 크로스오버 fast=12, slow=50 |
4.1% | -24.0% | 0.32 | 0.17 | 1.6x | 68 | 60% |
| EMA 크로스오버 fast=31, slow=76 |
3.5% | -34.9% | 0.29 | 0.10 | 1.5x | 32 | 66% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
1.0% | -19.2% | 0.14 | 0.05 | 1.1x | 26 | 22% |
| MACD fast=19, slow=50, signal=18 |
-0.9% | -34.2% | 0.01 | -0.03 | 0.9x | 126 | 49% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.7% | -29.9% | -0.03 | -0.06 | 0.8x | 102 | 56% |
| ADX / DI 방향성 period=42, threshold=19 |
-0.2% | -9.1% | -0.03 | -0.02 | 1.0x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=29, mult=3.1 |
-1.2% | -29.4% | -0.04 | -0.04 | 0.9x | 48 | 21% |
| Buy and hold | 7.2% | -41.1% | 0.41 | 0.17 | 2.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 47 days