Trend-Following Backtester · Guide · backtest 한국어
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Amundi Euro Government Bond 7-10Y UCITS ETF Acc backtest
10 trend-following strategies were compared on the full daily history of Amundi Euro Government Bond 7-10Y UCITS ETF Acc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.3%, drawdown -22.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -4.0%, Sharpe 0.61, 18% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 2.0%, MDD -22.2%, exposure 89%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=25 |
0.9% | -4.0% | 0.61 | 0.24 | 1.2x | 12 | 18% |
| EMA 크로스오버 fast=46, slow=274 |
1.7% | -13.2% | 0.44 | 0.13 | 1.3x | 13 | 72% |
| ROC 모멘텀 n=116, threshold=-0.04 |
2.0% | -22.2% | 0.43 | 0.09 | 1.4x | 37 | 89% |
| Donchian 채널 돌파 entryN=83, exitN=54 |
1.1% | -13.4% | 0.36 | 0.08 | 1.2x | 32 | 54% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
0.2% | -2.8% | 0.25 | 0.08 | 1.0x | 6 | 4% |
| SMA 크로스오버 fast=59, slow=134 |
0.9% | -14.7% | 0.25 | 0.06 | 1.2x | 30 | 64% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=23, mult=4 |
0.4% | -9.8% | 0.19 | 0.04 | 1.1x | 48 | 24% |
| Supertrend period=9, mult=5 |
-0.2% | -21.3% | -0.03 | -0.01 | 1.0x | 88 | 60% |
| MACD fast=31, slow=62, signal=49 |
-1.2% | -29.9% | -0.29 | -0.04 | 0.8x | 94 | 50% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.6% | -28.4% | -0.36 | -0.06 | 0.8x | 152 | 61% |
| Buy and hold | 2.3% | -22.5% | 0.43 | 0.10 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)