Trend-Following Backtester · Guide · backtest 한국어
etf · FR
Amundi CAC 40 Daily (2X) Leveraged UCITS ETF -Acc- backtest
10 trend-following strategies were compared on the full daily history of Amundi CAC 40 Daily (2X) Leveraged UCITS ETF -Acc-. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.8%, MDD -51.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.8%, drawdown -78.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.8%, MDD -51.6%, Sharpe 0.31, 75% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 4.8%, MDD -51.6%, exposure 75%).
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 n=116, threshold=-0.08 |
4.8% | -51.6% | 0.31 | 0.09 | 2.4x | 125 | 75% |
| 볼린저 밴드 돌파 n=23, k=3 |
0.5% | -4.3% | 0.28 | 0.12 | 1.1x | 4 | 1% |
| SMA 크로스오버 fast=21, slow=172 |
3.9% | -50.0% | 0.28 | 0.08 | 2.0x | 35 | 64% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=24, mult=2.7 |
0.6% | -3.8% | 0.26 | 0.15 | 1.1x | 4 | 1% |
| Donchian 채널 돌파 entryN=71, exitN=67 |
2.3% | -58.6% | 0.21 | 0.04 | 1.5x | 35 | 54% |
| EMA 크로스오버 fast=46, slow=95 |
1.2% | -49.7% | 0.17 | 0.02 | 1.2x | 41 | 63% |
| MACD fast=13, slow=26, signal=13 |
-3.6% | -76.3% | -0.01 | -0.05 | 0.5x | 300 | 52% |
| ADX / DI 방향성 period=14, threshold=28 |
-0.4% | -29.7% | -0.01 | -0.01 | 0.9x | 62 | 11% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.8% | -80.0% | -0.11 | -0.07 | 0.3x | 348 | 57% |
| Supertrend period=13, mult=2.2 |
-7.7% | -80.4% | -0.17 | -0.10 | 0.2x | 254 | 59% |
| Buy and hold | 4.8% | -78.5% | 0.32 | 0.06 | 2.4x | 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 116-day return is greater than -8%
- Sell — Sell when the 116-day return drops to -8% or below