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. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.3%, MDD -48.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.6%, drawdown -86.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -2.6%, Sharpe 0.43, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.2%, MDD -66.6%, exposure 61%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 83.8%p (CAGR 3.3%, MDD -48.7%, exposure 61%).
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=18, k=3.3 |
0.6% | -2.6% | 0.43 | 0.22 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=58, slow=143 |
5.2% | -66.6% | 0.32 | 0.08 | 2.6x | 27 | 61% |
| Donchian 채널 돌파 entryN=96, exitN=57 |
4.6% | -51.1% | 0.32 | 0.09 | 2.3x | 29 | 46% |
| ADX / DI 방향성 period=35, threshold=25 |
0.7% | -6.6% | 0.28 | 0.10 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=42, slow=201 |
3.3% | -48.7% | 0.25 | 0.07 | 1.8x | 25 | 61% |
| ROC 모멘텀 n=103, threshold=-0.03 |
1.5% | -58.3% | 0.19 | 0.03 | 1.3x | 175 | 66% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=22, mult=3.4 |
1.3% | -23.2% | 0.18 | 0.05 | 1.3x | 42 | 14% |
| MACD fast=16, slow=42, signal=18 |
-1.4% | -64.7% | 0.08 | -0.02 | 0.8x | 226 | 51% |
| Supertrend period=26, mult=4.6 |
-3.7% | -76.7% | -0.01 | -0.05 | 0.5x | 97 | 59% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.9% | -75.0% | -0.06 | -0.07 | 0.4x | 182 | 57% |
| Buy and hold | 2.6% | -86.4% | 0.28 | 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 18-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 18-day middle average