Trend-Following Backtester · Guide · backtest 한국어
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Amundi MSCI World Swap -UCITS ETF- Capitalisation backtest
10 trend-following strategies were compared on the full daily history of Amundi MSCI World Swap -UCITS ETF- Capitalisation. 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 12.9%, drawdown -33.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.8%, MDD -21.9%, Sharpe 1.04, 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=7, threshold=-0.06 |
13.8% | -21.9% | 1.04 | 0.63 | 9.2x | 43 | 98% |
| Donchian 채널 돌파 entryN=17, exitN=47 |
9.2% | -22.6% | 0.82 | 0.41 | 4.5x | 57 | 84% |
| SMA 크로스오버 fast=38, slow=118 |
7.7% | -30.6% | 0.72 | 0.25 | 3.6x | 29 | 74% |
| EMA 크로스오버 fast=51, slow=91 |
7.7% | -27.7% | 0.70 | 0.28 | 3.5x | 25 | 80% |
| Supertrend period=21, mult=5 |
4.9% | -21.5% | 0.53 | 0.23 | 2.3x | 123 | 69% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
2.0% | -9.7% | 0.36 | 0.21 | 1.4x | 42 | 29% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=2.4 |
1.6% | -25.2% | 0.22 | 0.06 | 1.3x | 125 | 59% |
| ADX / DI 방향성 period=21, threshold=37 |
0.2% | -4.1% | 0.13 | 0.04 | 1.0x | 6 | 2% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.4% | -35.0% | 0.09 | 0.01 | 1.1x | 172 | 61% |
| MACD fast=14, slow=23, signal=19 |
0.4% | -31.4% | 0.09 | 0.01 | 1.1x | 250 | 53% |
| Buy and hold | 12.9% | -33.6% | 0.90 | 0.38 | 8.0x | 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 7-day return is greater than -6%
- Sell — Sell when the 7-day return drops to -6% or below