Trend-Following Backtester · Guide · backtest 한국어
etf · US
Xtrackers MSCI EAFE Hedged Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI EAFE Hedged Equity ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.2%, drawdown -32.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.8%, MDD -26.0%, Sharpe 0.36, 98% 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 98% n=40, threshold=-0.15 |
4.8% | -26.0% | 0.36 | 0.19 | 2.0x | 11 | 98% |
| SMA 크로스오버 fast=55, slow=102 |
3.4% | -30.2% | 0.32 | 0.11 | 1.7x | 39 | 64% |
| EMA 크로스오버 fast=49, slow=104 |
2.0% | -27.8% | 0.22 | 0.07 | 1.4x | 29 | 69% |
| 볼린저 밴드 돌파 n=65, k=3.2 |
0.4% | -10.4% | 0.13 | 0.04 | 1.1x | 6 | 7% |
| ADX / DI 방향성 period=15, threshold=35 |
0.2% | -11.0% | 0.07 | 0.02 | 1.0x | 16 | 5% |
| Donchian 채널 돌파 entryN=25, exitN=79 |
-0.1% | -33.7% | 0.07 | -0.00 | 1.0x | 37 | 81% |
| Supertrend period=26, mult=4.1 |
-2.1% | -45.6% | -0.10 | -0.05 | 0.7x | 95 | 67% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=8, mult=3.6 |
-0.5% | -9.9% | -0.13 | -0.05 | 0.9x | 4 | 0% |
| MACD fast=19, slow=66, signal=17 |
-6.3% | -70.5% | -0.50 | -0.09 | 0.4x | 166 | 54% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-9.0% | -77.0% | -0.75 | -0.12 | 0.2x | 271 | 57% |
| Buy and hold | 5.2% | -32.5% | 0.37 | 0.16 | 2.2x | 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 40-day return is greater than -15%
- Sell — Sell when the 40-day return drops to -15% or below