Trend-Following Backtester · Guide · backtest 한국어
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BNP Paribas Easy MSCI EMU ESG Filtered Min TE UCITS ETF Capitalisation backtest
10 trend-following strategies were compared on the full daily history of BNP Paribas Easy MSCI EMU ESG Filtered Min TE UCITS ETF Capitalisation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -38.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -21.2%, Sharpe 0.54, 73% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.6%, MDD -32.3%, exposure 94%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=16, slow=189 |
6.2% | -21.2% | 0.54 | 0.29 | 2.6x | 27 | 73% |
| ROC 모멘텀 n=41, threshold=-0.09 |
7.6% | -32.3% | 0.54 | 0.23 | 3.1x | 43 | 94% |
| Donchian 채널 돌파 entryN=109, exitN=55 |
4.7% | -14.7% | 0.49 | 0.32 | 2.1x | 25 | 57% |
| 볼린저 밴드 돌파 n=53, k=3 |
1.2% | -5.4% | 0.45 | 0.22 | 1.2x | 4 | 5% |
| SMA 크로스오버 fast=20, slow=201 |
4.9% | -31.6% | 0.44 | 0.16 | 2.1x | 27 | 70% |
| Supertrend period=23, mult=4.9 |
2.6% | -32.6% | 0.27 | 0.08 | 1.5x | 105 | 66% |
| MACD fast=22, slow=39, signal=22 |
-0.7% | -35.8% | -0.01 | -0.02 | 0.9x | 162 | 50% |
| ADX / DI 방향성 period=36, threshold=22 |
-0.1% | -8.9% | -0.01 | -0.01 | 1.0x | 10 | 7% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.6% | -40.7% | -0.09 | -0.04 | 0.8x | 153 | 59% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=27, mult=3.1 |
-3.0% | -41.4% | -0.34 | -0.07 | 0.6x | 104 | 35% |
| Buy and hold | 8.7% | -38.4% | 0.55 | 0.23 | 3.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 16-day EMA crosses above the 189-day EMA
- Sell — Sell when the 16-day EMA falls below the 189-day EMA