Trend-Following Backtester · Guide · backtest 한국어
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Multi Units Luxembourg SICAV - Amundi MSCI Semiconductors UCITS ETF Acc Capitalisation backtest
10 trend-following strategies were compared on the full daily history of Multi Units Luxembourg SICAV - Amundi MSCI Semiconductors UCITS ETF Acc Capitalisation. 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 15.2%, MDD -25.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.1%, drawdown -51.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -25.3%, Sharpe 0.81, 70% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 16.5%, MDD -40.9%, exposure 85%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 25.8%p (CAGR 15.2%, MDD -25.3%, exposure 70%).
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=78, exitN=93 |
15.2% | -25.3% | 0.81 | 0.60 | 14.1x | 23 | 70% |
| ROC 모멘텀 n=183, threshold=-0.12 |
16.5% | -40.9% | 0.80 | 0.40 | 17.4x | 39 | 85% |
| EMA 크로스오버 fast=46, slow=149 |
15.1% | -26.6% | 0.79 | 0.57 | 13.9x | 21 | 73% |
| SMA 크로스오버 fast=52, slow=135 |
14.1% | -28.2% | 0.75 | 0.50 | 11.9x | 27 | 70% |
| ADX / DI 방향성 period=13, threshold=27 |
4.8% | -22.0% | 0.48 | 0.22 | 2.4x | 98 | 19% |
| Supertrend period=17, mult=4.3 |
7.1% | -45.9% | 0.46 | 0.16 | 3.6x | 139 | 60% |
| MACD fast=25, slow=34, signal=31 |
6.6% | -49.2% | 0.44 | 0.13 | 3.3x | 173 | 52% |
| Parabolic SAR step=0.015, maxStep=0.02 |
6.1% | -45.0% | 0.40 | 0.14 | 3.0x | 111 | 63% |
| 볼린저 밴드 돌파 n=63, k=2.5 |
4.2% | -27.5% | 0.37 | 0.15 | 2.1x | 42 | 24% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=21, mult=1 |
4.6% | -54.2% | 0.34 | 0.09 | 2.3x | 209 | 59% |
| Buy and hold | 16.1% | -51.1% | 0.70 | 0.31 | 16.4x | 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 78 days
- Sell — Sell when price breaks below the lowest low of the last 93 days