Trend-Following Backtester · Guide · backtest 한국어
etf · FR
BNP Paribas Easy Stoxx Europe 600 UCITS ETF Act C EUR backtest
10 trend-following strategies were compared on the full daily history of BNP Paribas Easy Stoxx Europe 600 UCITS ETF Act C EUR. 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 8.7%, drawdown -35.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.0%, MDD -28.8%, Sharpe 0.65, 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=8, threshold=-0.07 |
9.0% | -28.8% | 0.65 | 0.31 | 3.0x | 29 | 98% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
1.4% | -7.6% | 0.41 | 0.18 | 1.2x | 8 | 9% |
| Supertrend period=25, mult=3.8 |
3.7% | -18.2% | 0.39 | 0.20 | 1.6x | 89 | 67% |
| EMA 크로스오버 fast=58, slow=100 |
3.7% | -30.0% | 0.36 | 0.12 | 1.6x | 19 | 74% |
| SMA 크로스오버 fast=39, slow=152 |
3.4% | -37.8% | 0.33 | 0.09 | 1.5x | 23 | 71% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=29, mult=3.1 |
0.6% | -4.9% | 0.31 | 0.13 | 1.1x | 10 | 3% |
| Donchian 채널 돌파 entryN=12, exitN=52 |
2.9% | -35.7% | 0.28 | 0.08 | 1.4x | 49 | 85% |
| ADX / DI 방향성 period=26, threshold=44 |
0.3% | -3.7% | 0.27 | 0.08 | 1.0x | 2 | 2% |
| MACD fast=13, slow=71, signal=22 |
-1.2% | -28.6% | -0.10 | -0.04 | 0.9x | 142 | 50% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.9% | -42.1% | -0.24 | -0.07 | 0.7x | 134 | 59% |
| Buy and hold | 8.7% | -35.1% | 0.59 | 0.25 | 2.9x | 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 8-day return is greater than -7%
- Sell — Sell when the 8-day return drops to -7% or below