Trend-Following Backtester · Guide · backtest 한국어
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Amundi Index Solutions - S&P 500 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Amundi Index Solutions - S&P 500 UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.4%, MDD -21.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.0%, drawdown -33.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.5%, MDD -25.3%, Sharpe 1.01, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 8.3%p (CAGR 13.4%, MDD -21.3%, exposure 91%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.09 |
15.5% | -25.3% | 1.01 | 0.61 | 10.5x | 21 | 99% |
| Donchian 채널 돌파 entryN=17, exitN=97 |
13.4% | -21.3% | 0.96 | 0.63 | 7.7x | 27 | 91% |
| SMA 크로스오버 fast=58, slow=114 |
9.9% | -33.7% | 0.79 | 0.29 | 4.7x | 25 | 74% |
| EMA 크로스오버 fast=35, slow=45 |
9.3% | -25.3% | 0.78 | 0.37 | 4.2x | 45 | 76% |
| Parabolic SAR step=0.005, maxStep=0.02 |
6.7% | -22.0% | 0.60 | 0.30 | 2.9x | 75 | 72% |
| Supertrend period=20, mult=5 |
5.5% | -21.9% | 0.53 | 0.25 | 2.4x | 111 | 67% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
3.8% | -20.0% | 0.42 | 0.19 | 1.8x | 93 | 55% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=9, mult=2.1 |
3.3% | -20.4% | 0.37 | 0.16 | 1.7x | 127 | 59% |
| MACD fast=18, slow=53, signal=11 |
2.0% | -21.8% | 0.24 | 0.09 | 1.4x | 223 | 52% |
| ADX / DI 방향성 period=30, threshold=36 |
0.2% | -1.8% | 0.18 | 0.09 | 1.0x | 2 | 1% |
| Buy and hold | 15.0% | -33.7% | 0.93 | 0.44 | 9.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 10-day return is greater than -9%
- Sell — Sell when the 10-day return drops to -9% or below