Trend-Following Backtester · Guide · backtest 한국어
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Amundi MSCI World Swap II UCITS ETF Act -Dist- backtest
10 trend-following strategies were compared on the full daily history of Amundi MSCI World Swap II UCITS ETF Act -Dist-. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.4%, MDD -29.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -49.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -29.5%, Sharpe 0.59, 75% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.6%, MDD -33.5%, exposure 71%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 20.1%p (CAGR 6.4%, MDD -29.5%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=45, slow=103 |
6.4% | -29.5% | 0.59 | 0.22 | 3.2x | 29 | 75% |
| SMA 크로스오버 fast=54, slow=135 |
6.6% | -33.5% | 0.59 | 0.20 | 3.3x | 29 | 71% |
| Donchian 채널 돌파 entryN=94, exitN=56 |
5.0% | -15.9% | 0.55 | 0.31 | 2.5x | 33 | 58% |
| ROC 모멘텀 n=109, threshold=-0.03 |
5.4% | -24.0% | 0.50 | 0.22 | 2.7x | 91 | 78% |
| Supertrend period=20, mult=5 |
3.0% | -30.8% | 0.33 | 0.10 | 1.7x | 91 | 63% |
| 볼린저 밴드 돌파 n=19, k=3.2 |
0.4% | -3.0% | 0.31 | 0.12 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=26, mult=3.7 |
1.4% | -21.5% | 0.20 | 0.06 | 1.3x | 69 | 45% |
| ADX / DI 방향성 period=29, threshold=30 |
0.1% | -1.8% | 0.16 | 0.06 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.4% | -38.9% | -0.08 | -0.04 | 0.8x | 183 | 59% |
| MACD fast=18, slow=25, signal=13 |
-1.9% | -43.7% | -0.13 | -0.04 | 0.7x | 281 | 52% |
| Buy and hold | 7.6% | -49.5% | 0.51 | 0.15 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 103-day EMA
- Sell — Sell when the 45-day EMA falls below the 103-day EMA