Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI USA Information Technology UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI USA Information Technology UCITS ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 23.2%, drawdown -31.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.9%, MDD -29.2%, Sharpe 1.13, 84% exposure.
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=18, exitN=60 |
21.9% | -29.2% | 1.13 | 0.75 | 5.8x | 15 | 84% |
| Supertrend period=18, mult=4.1 |
15.0% | -20.8% | 0.99 | 0.72 | 3.4x | 60 | 60% |
| EMA 크로스오버 fast=5, slow=85 |
16.7% | -21.4% | 0.96 | 0.78 | 3.9x | 35 | 74% |
| SMA 크로스오버 fast=11, slow=135 |
16.1% | -25.2% | 0.92 | 0.64 | 3.7x | 21 | 73% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=20, mult=1 |
14.1% | -16.9% | 0.89 | 0.83 | 3.2x | 58 | 67% |
| Parabolic SAR step=0.005, maxStep=0.26 |
12.1% | -20.3% | 0.80 | 0.60 | 2.8x | 84 | 61% |
| 볼린저 밴드 돌파 n=21, k=1.5 |
10.1% | -16.3% | 0.78 | 0.62 | 2.4x | 94 | 49% |
| ROC 모멘텀 n=83, threshold=-0.03 |
13.8% | -35.9% | 0.78 | 0.38 | 3.1x | 39 | 79% |
| MACD fast=17, slow=44, signal=15 |
7.0% | -23.5% | 0.52 | 0.30 | 1.8x | 112 | 51% |
| ADX / DI 방향성 period=20, threshold=11 |
4.5% | -29.4% | 0.38 | 0.15 | 1.5x | 130 | 55% |
| Buy and hold | 23.2% | -31.8% | 1.02 | 0.73 | 6.4x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 60 days