Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares AEX UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of iShares AEX UCITS ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 95% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -36.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.4%, MDD -39.2%, Sharpe 0.39, 95% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 95% n=45, threshold=-0.12 |
6.4% | -39.2% | 0.39 | 0.16 | 3.0x | 41 | 95% |
| SMA 크로스오버 fast=35, slow=102 |
4.4% | -30.6% | 0.32 | 0.14 | 2.1x | 49 | 66% |
| Donchian 채널 돌파 entryN=67, exitN=76 |
4.0% | -44.5% | 0.30 | 0.09 | 2.0x | 21 | 73% |
| EMA 크로스오버 fast=35, slow=134 |
3.8% | -38.0% | 0.29 | 0.10 | 1.9x | 31 | 70% |
| ADX / DI 방향성 period=33, threshold=28 |
0.3% | -2.6% | 0.23 | 0.11 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=27, mult=2.1 |
-3.1% | -66.0% | -0.10 | -0.05 | 0.6x | 111 | 58% |
| Supertrend period=25, mult=4.4 |
-5.2% | -77.7% | -0.23 | -0.07 | 0.4x | 161 | 60% |
| 볼린저 밴드 돌파 n=24, k=1.9 |
-4.2% | -70.1% | -0.26 | -0.06 | 0.5x | 141 | 31% |
| MACD fast=24, slow=43, signal=20 |
-5.4% | -78.9% | -0.29 | -0.07 | 0.4x | 196 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-7.8% | -85.5% | -0.41 | -0.09 | 0.2x | 159 | 56% |
| Buy and hold | 7.9% | -36.8% | 0.43 | 0.21 | 3.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 45-day return is greater than -12%
- Sell — Sell when the 45-day return drops to -12% or below