Trend-Following Backtester · Guide · backtest 한국어
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Amundi MSCI Em Asia Shs -UCITS ETF- Capitalisation backtest
10 trend-following strategies were compared on the full daily history of Amundi MSCI Em Asia Shs -UCITS ETF- Capitalisation. 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 7.7%, drawdown -33.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -22.0%, Sharpe 0.47, 45% 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=121, exitN=76 |
4.9% | -22.0% | 0.47 | 0.22 | 2.1x | 21 | 45% |
| SMA 크로스오버 fast=41, slow=62 |
4.4% | -37.7% | 0.38 | 0.12 | 1.9x | 69 | 62% |
| EMA 크로스오버 fast=46, slow=216 |
3.0% | -34.2% | 0.28 | 0.09 | 1.6x | 21 | 64% |
| 볼린저 밴드 돌파 n=48, k=2.5 |
1.7% | -16.8% | 0.26 | 0.10 | 1.3x | 34 | 21% |
| MACD fast=23, slow=69, signal=25 |
2.0% | -31.3% | 0.22 | 0.06 | 1.3x | 124 | 53% |
| ROC 모멘텀 n=120, threshold=0.02 |
1.1% | -42.0% | 0.15 | 0.03 | 1.2x | 133 | 54% |
| ADX / DI 방향성 period=36, threshold=21 |
-0.1% | -12.3% | -0.00 | -0.01 | 1.0x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=18, mult=2.7 |
-0.7% | -37.0% | -0.01 | -0.02 | 0.9x | 116 | 43% |
| Supertrend period=29, mult=4.6 |
-1.3% | -45.0% | -0.03 | -0.03 | 0.8x | 130 | 60% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.4% | -52.2% | -0.12 | -0.05 | 0.7x | 134 | 58% |
| Buy and hold | 7.7% | -33.9% | 0.48 | 0.23 | 3.1x | 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 121 days
- Sell — Sell when price breaks below the lowest low of the last 76 days