Trend-Following Backtester · Guide · backtest 한국어
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Amundi PEA S&P 500 UCITS ETF FCP Parts -Acc- backtest
10 trend-following strategies were compared on the full daily history of Amundi PEA S&P 500 UCITS ETF FCP Parts -Acc-. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.0%, MDD -23.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -33.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.0%, MDD -23.4%, Sharpe 0.90, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 10.3%p (CAGR 12.0%, MDD -23.4%, exposure 87%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=58 |
12.0% | -23.4% | 0.90 | 0.52 | 4.0x | 31 | 87% |
| Supertrend period=36, mult=5 |
9.3% | -21.7% | 0.80 | 0.43 | 3.0x | 49 | 73% |
| EMA 크로스오버 fast=22, slow=54 |
9.0% | -24.2% | 0.75 | 0.37 | 2.9x | 39 | 76% |
| SMA 크로스오버 fast=13, slow=95 |
7.9% | -26.2% | 0.67 | 0.30 | 2.6x | 33 | 72% |
| ROC 모멘텀 n=41, threshold=-0.04 |
7.7% | -26.7% | 0.61 | 0.29 | 2.5x | 85 | 87% |
| 볼린저 밴드 돌파 n=66, k=0.8 |
5.4% | -21.4% | 0.55 | 0.25 | 1.9x | 81 | 64% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=21, mult=2.4 |
5.0% | -26.0% | 0.53 | 0.19 | 1.8x | 57 | 59% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.6% | -21.6% | 0.47 | 0.21 | 1.7x | 115 | 64% |
| ADX / DI 방향성 period=28, threshold=44 |
0.6% | -2.6% | 0.39 | 0.23 | 1.1x | 2 | 2% |
| MACD fast=16, slow=41, signal=16 |
1.6% | -24.2% | 0.21 | 0.07 | 1.2x | 166 | 50% |
| Buy and hold | 15.3% | -33.7% | 0.93 | 0.46 | 5.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 58 days