Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World ESG UCITS ETF Accum Shs -1C- USD backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World ESG UCITS ETF Accum Shs -1C- USD. 1 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 11.0%, MDD -19.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.6%, drawdown -33.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -19.2%, Sharpe 0.78, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 14.0%p (CAGR 11.0%, MDD -19.2%, exposure 84%).
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=16, exitN=46 |
11.0% | -19.2% | 0.78 | 0.57 | 2.4x | 25 | 84% |
| Supertrend period=29, mult=4.3 |
8.7% | -19.8% | 0.70 | 0.44 | 2.0x | 45 | 67% |
| EMA 크로스오버 fast=11, slow=113 |
9.1% | -25.5% | 0.70 | 0.36 | 2.1x | 19 | 74% |
| SMA 크로스오버 fast=56, slow=214 |
8.9% | -33.2% | 0.62 | 0.27 | 2.0x | 9 | 69% |
| ROC 모멘텀 n=51, threshold=-0.04 |
7.9% | -34.2% | 0.59 | 0.23 | 1.9x | 43 | 84% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=25, mult=3.2 |
6.0% | -21.8% | 0.54 | 0.28 | 1.6x | 23 | 56% |
| ADX / DI 방향성 period=18, threshold=37 |
0.9% | -1.9% | 0.54 | 0.50 | 1.1x | 2 | 3% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
4.0% | -18.8% | 0.38 | 0.21 | 1.4x | 58 | 56% |
| MACD fast=15, slow=73, signal=12 |
2.3% | -15.9% | 0.25 | 0.15 | 1.2x | 108 | 54% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.8% | -19.1% | 0.13 | 0.04 | 1.1x | 75 | 61% |
| Buy and hold | 10.6% | -33.2% | 0.63 | 0.32 | 2.3x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 46 days