Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI Europe Small Cap UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI Europe Small Cap UCITS ETF Capitalisation 1C. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.6%, MDD -29.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.7%, drawdown -71.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -29.4%, Sharpe 0.45, 71% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.6%, MDD -29.7%, exposure 72%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 6.6%, MDD -29.4%, exposure 71%).
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=98, exitN=129 |
6.6% | -29.4% | 0.45 | 0.23 | 3.3x | 17 | 71% |
| EMA 크로스오버 fast=36, slow=109 |
7.6% | -29.7% | 0.44 | 0.26 | 3.9x | 43 | 72% |
| SMA 크로스오버 fast=29, slow=127 |
6.4% | -33.0% | 0.43 | 0.19 | 3.1x | 39 | 68% |
| ROC 모멘텀 n=186, threshold=0.01 |
4.5% | -35.4% | 0.34 | 0.13 | 2.3x | 83 | 67% |
| ADX / DI 방향성 period=35, threshold=30 |
0.4% | -5.1% | 0.24 | 0.07 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=45, k=2 |
-1.1% | -43.2% | 0.05 | -0.03 | 0.8x | 81 | 34% |
| MACD fast=15, slow=53, signal=15 |
-5.9% | -78.4% | -0.03 | -0.08 | 0.3x | 227 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=3.6 |
-2.1% | -52.7% | -0.04 | -0.04 | 0.7x | 72 | 30% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-9.3% | -89.6% | -0.22 | -0.10 | 0.2x | 171 | 57% |
| Supertrend period=15, mult=4.7 |
-12.2% | -94.6% | -0.31 | -0.13 | 0.1x | 121 | 60% |
| Buy and hold | 5.7% | -71.4% | 0.33 | 0.08 | 2.8x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 129 days