Trend-Following Backtester · Guide · backtest 한국어
etf · FR
Multi Units LU Amundi MSCI Korea ETF Acc- Capitalisation backtest
10 trend-following strategies were compared on the full daily history of Multi Units LU Amundi MSCI Korea ETF Acc- Capitalisation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.8%, MDD -43.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -63.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.6%, MDD -50.0%, Sharpe 0.48, 59% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.8%, MDD -43.5%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 13.8%p (CAGR 7.8%, MDD -43.5%, exposure 60%).
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=55, slow=63 |
7.6% | -50.0% | 0.48 | 0.15 | 3.9x | 39 | 59% |
| SMA 크로스오버 fast=59, slow=262 |
7.8% | -43.5% | 0.47 | 0.18 | 4.1x | 23 | 60% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
2.5% | -18.2% | 0.40 | 0.14 | 1.6x | 6 | 4% |
| Donchian 채널 돌파 entryN=24, exitN=63 |
6.0% | -43.4% | 0.38 | 0.14 | 3.0x | 65 | 73% |
| ADX / DI 방향성 period=39, threshold=16 |
3.6% | -32.0% | 0.38 | 0.11 | 1.9x | 28 | 11% |
| ROC 모멘텀 n=105, threshold=-0.03 |
4.8% | -63.9% | 0.34 | 0.08 | 2.4x | 163 | 66% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=3.1 |
2.8% | -52.1% | 0.25 | 0.05 | 1.7x | 106 | 41% |
| MACD fast=15, slow=32, signal=17 |
-0.6% | -70.4% | 0.07 | -0.01 | 0.9x | 251 | 52% |
| Supertrend period=35, mult=4.1 |
-0.7% | -60.2% | 0.06 | -0.01 | 0.9x | 197 | 57% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-2.4% | -74.6% | -0.03 | -0.03 | 0.6x | 235 | 55% |
| Buy and hold | 8.6% | -63.8% | 0.43 | 0.13 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 63-day EMA
- Sell — Sell when the 55-day EMA falls below the 63-day EMA