Trend-Following Backtester · Guide · backtest 한국어
etf · FR
Multi Units LU -Amundi Euro Stoxx Banks ETF Acc- Capitalisation backtest
10 trend-following strategies were compared on the full daily history of Multi Units LU -Amundi Euro Stoxx Banks ETF Acc- Capitalisation. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.3%, MDD -25.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.3%, drawdown -63.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -25.7%, Sharpe 0.94, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 16.3%, MDD -25.7%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=2, slow=216 |
16.3% | -25.7% | 0.94 | 0.63 | 6.7x | 21 | 58% |
| EMA 크로스오버 fast=18, slow=211 |
13.7% | -33.4% | 0.79 | 0.41 | 5.0x | 11 | 58% |
| Donchian 채널 돌파 entryN=74, exitN=97 |
13.1% | -33.0% | 0.76 | 0.40 | 4.8x | 13 | 62% |
| ROC 모멘텀 n=161, threshold=0.04 |
11.9% | -36.9% | 0.71 | 0.32 | 4.2x | 63 | 55% |
| 볼린저 밴드 돌파 n=48, k=2.7 |
3.9% | -17.2% | 0.41 | 0.22 | 1.6x | 27 | 19% |
| ADX / DI 방향성 period=18, threshold=33 |
1.9% | -9.2% | 0.38 | 0.20 | 1.3x | 14 | 5% |
| Parabolic SAR step=0.035, maxStep=0.32 |
4.2% | -55.2% | 0.31 | 0.08 | 1.7x | 349 | 55% |
| MACD fast=18, slow=59, signal=19 |
2.8% | -64.1% | 0.24 | 0.04 | 1.4x | 130 | 52% |
| Supertrend period=19, mult=2.9 |
2.8% | -59.2% | 0.24 | 0.05 | 1.4x | 173 | 58% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=24, mult=1.2 |
-0.6% | -60.7% | 0.04 | -0.01 | 0.9x | 205 | 42% |
| Buy and hold | 11.3% | -63.9% | 0.52 | 0.18 | 3.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 2-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 2-day average falls below the 216-day average