Trend-Following Backtester · Guide · backtest 한국어
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Multi Units Lu - Amundi Core Nasdaq-100 Swap backtest
10 trend-following strategies were compared on the full daily history of Multi Units Lu - Amundi Core Nasdaq-100 Swap. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.4%, MDD -28.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.7%, drawdown -42.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.4%, MDD -28.3%, Sharpe 0.90, 78% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 14.0%p (CAGR 14.4%, MDD -28.3%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=213 |
14.4% | -28.3% | 0.90 | 0.51 | 12.2x | 17 | 78% |
| EMA 크로스오버 fast=49, slow=142 |
13.6% | -28.9% | 0.85 | 0.47 | 10.8x | 21 | 79% |
| Donchian 채널 돌파 entryN=104, exitN=71 |
11.1% | -23.7% | 0.78 | 0.47 | 7.1x | 27 | 69% |
| ROC 모멘텀 n=121, threshold=-0.01 |
11.0% | -34.0% | 0.71 | 0.32 | 7.0x | 91 | 79% |
| Parabolic SAR step=0.015, maxStep=0.02 |
9.3% | -25.2% | 0.67 | 0.37 | 5.2x | 88 | 71% |
| Supertrend period=22, mult=4.5 |
6.8% | -36.2% | 0.54 | 0.19 | 3.4x | 158 | 65% |
| 볼린저 밴드 돌파 n=44, k=0.7 |
5.8% | -22.9% | 0.49 | 0.25 | 2.9x | 172 | 62% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=2.2 |
4.4% | -25.8% | 0.40 | 0.17 | 2.2x | 144 | 58% |
| MACD fast=19, slow=55, signal=18 |
2.9% | -32.5% | 0.27 | 0.09 | 1.7x | 212 | 52% |
| ADX / DI 방향성 period=24, threshold=7 |
-1.2% | -43.9% | -0.01 | -0.03 | 0.8x | 346 | 64% |
| Buy and hold | 16.7% | -42.3% | 0.81 | 0.40 | 17.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 40-day average falls below the 213-day average