Trend-Following Backtester · Guide · backtest 한국어
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BNP PARIBAS EASY - MSCI Europe Min TE Ucits ETF Capitalisation backtest
10 trend-following strategies were compared on the full daily history of BNP PARIBAS EASY - MSCI Europe Min TE Ucits ETF Capitalisation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.3%, drawdown -35.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -32.7%, Sharpe 0.65, 99% 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 99% n=7, threshold=-0.09 |
9.1% | -32.7% | 0.65 | 0.28 | 4.0x | 15 | 99% |
| SMA 크로스오버 fast=46, slow=202 |
4.8% | -39.5% | 0.45 | 0.12 | 2.1x | 17 | 72% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
1.0% | -5.4% | 0.45 | 0.18 | 1.2x | 4 | 5% |
| EMA 크로스오버 fast=36, slow=160 |
4.1% | -30.5% | 0.41 | 0.13 | 1.9x | 25 | 74% |
| Donchian 채널 돌파 entryN=37, exitN=77 |
2.9% | -27.4% | 0.30 | 0.11 | 1.6x | 39 | 78% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=17, mult=3.7 |
0.2% | -2.9% | 0.24 | 0.08 | 1.0x | 6 | 2% |
| ADX / DI 방향성 period=22, threshold=36 |
0.2% | -3.7% | 0.17 | 0.05 | 1.0x | 4 | 3% |
| Supertrend period=21, mult=4.9 |
0.7% | -29.0% | 0.12 | 0.02 | 1.1x | 127 | 64% |
| MACD fast=18, slow=36, signal=18 |
-0.8% | -33.8% | -0.04 | -0.02 | 0.9x | 190 | 51% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-2.4% | -44.9% | -0.20 | -0.05 | 0.7x | 224 | 57% |
| Buy and hold | 8.3% | -35.5% | 0.57 | 0.23 | 3.5x | 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 7-day return is greater than -9%
- Sell — Sell when the 7-day return drops to -9% or below