Trend-Following Backtester · Guide · backtest 한국어
etf · FR
Amundi EUR Overnight Return UCITS ETF -Acc- backtest
10 trend-following strategies were compared on the full daily history of Amundi EUR Overnight Return UCITS ETF -Acc-. 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 0.6%, drawdown -5.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.5%, MDD -3.4%, Sharpe 1.01, 40% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.5%, MDD -4.2%, exposure 53%.
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=108, exitN=28 |
0.5% | -3.4% | 1.01 | 0.14 | 1.1x | 7 | 40% |
| ADX / DI 방향성 period=109, threshold=35 |
0.4% | -2.8% | 0.76 | 0.14 | 1.1x | 7 | 22% |
| SMA 크로스오버 fast=43, slow=113 |
0.5% | -4.2% | 0.64 | 0.12 | 1.1x | 7 | 53% |
| EMA 크로스오버 fast=59, slow=68 |
0.5% | -5.6% | 0.54 | 0.08 | 1.1x | 7 | 54% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=18, mult=3.5 |
0.3% | -8.1% | 0.37 | 0.03 | 1.1x | 11 | 31% |
| ROC 모멘텀 Hold-like · Exposure 99% n=67, threshold=-0.01 |
0.3% | -9.0% | 0.32 | 0.03 | 1.1x | 7 | 99% |
| Supertrend period=10, mult=4.4 |
0.2% | -8.9% | 0.27 | 0.03 | 1.0x | 15 | 58% |
| 볼린저 밴드 돌파 n=57, k=2.8 |
0.2% | -6.9% | 0.26 | 0.03 | 1.0x | 9 | 21% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-1.6% | -28.5% | -1.27 | -0.06 | 0.7x | 75 | 48% |
| MACD fast=52, slow=67, signal=49 |
-2.5% | -39.8% | -1.87 | -0.06 | 0.6x | 103 | 38% |
| Buy and hold | 0.6% | -5.1% | 0.69 | 0.12 | 1.1x | 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 108 days
- Sell — Sell when price breaks below the lowest low of the last 28 days