Trend-Following Backtester · Guide · backtest 한국어
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Multi Units France - Amundi EURO STOXX 50 Daily (2x) Leveraged UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Multi Units France - Amundi EURO STOXX 50 Daily (2x) Leveraged UCITS ETF. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -42.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.4%, drawdown -86.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -2.8%, Sharpe 0.38, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.7%, MDD -47.4%, exposure 59%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 83.6%p (CAGR 5.6%, MDD -42.5%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=3.3 |
0.6% | -2.8% | 0.38 | 0.20 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=55, slow=86 |
6.7% | -47.4% | 0.37 | 0.14 | 3.3x | 59 | 59% |
| ADX / DI 방향성 period=32, threshold=26 |
0.9% | -6.6% | 0.37 | 0.13 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=74, exitN=54 |
5.6% | -42.5% | 0.36 | 0.13 | 2.8x | 33 | 50% |
| ROC 모멘텀 n=103, threshold=-0.12 |
4.2% | -55.9% | 0.29 | 0.08 | 2.2x | 119 | 78% |
| EMA 크로스오버 fast=43, slow=203 |
3.3% | -49.3% | 0.25 | 0.07 | 1.8x | 23 | 61% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=25, mult=3.2 |
1.9% | -27.6% | 0.23 | 0.07 | 1.4x | 46 | 14% |
| Parabolic SAR step=0.02, maxStep=0.04 |
0.6% | -63.0% | 0.15 | 0.01 | 1.1x | 214 | 58% |
| MACD fast=19, slow=39, signal=18 |
-0.6% | -62.3% | 0.10 | -0.01 | 0.9x | 214 | 51% |
| Supertrend period=28, mult=4.5 |
-3.1% | -73.9% | 0.01 | -0.04 | 0.6x | 100 | 59% |
| Buy and hold | 2.4% | -86.4% | 0.27 | 0.03 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 22-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 22-day middle average