Trend-Following Backtester · Guide · backtest 한국어
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Amundi Index Solutions - MSCI Europe UCITS ETF DR backtest
10 trend-following strategies were compared on the full daily history of Amundi Index Solutions - MSCI Europe UCITS ETF DR. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.8%, drawdown -35.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.2%, MDD -23.4%, Sharpe 0.84, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.07 |
11.2% | -23.4% | 0.84 | 0.48 | 2.8x | 17 | 98% |
| Donchian 채널 돌파 Hold-like · Exposure 97% entryN=1, exitN=75 |
8.3% | -28.4% | 0.63 | 0.29 | 2.2x | 47 | 97% |
| SMA 크로스오버 fast=6, slow=208 |
4.0% | -17.1% | 0.42 | 0.23 | 1.5x | 29 | 69% |
| Supertrend period=15, mult=4.8 |
3.4% | -22.3% | 0.39 | 0.15 | 1.4x | 53 | 65% |
| EMA 크로스오버 fast=43, slow=130 |
3.3% | -31.6% | 0.34 | 0.10 | 1.4x | 13 | 76% |
| ADX / DI 방향성 period=41, threshold=23 |
1.1% | -9.3% | 0.30 | 0.11 | 1.1x | 6 | 14% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
1.1% | -15.5% | 0.17 | 0.07 | 1.1x | 49 | 48% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.1% | -17.3% | 0.16 | 0.06 | 1.1x | 99 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=1.6 |
-0.2% | -20.3% | 0.02 | -0.01 | 1.0x | 77 | 60% |
| MACD fast=17, slow=56, signal=24 |
-0.8% | -20.0% | -0.05 | -0.04 | 0.9x | 96 | 50% |
| Buy and hold | 9.8% | -35.5% | 0.68 | 0.27 | 2.5x | 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 8-day return is greater than -7%
- Sell — Sell when the 8-day return drops to -7% or below