Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers S&P 500 SWAP UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers S&P 500 SWAP UCITS ETF Capitalisation 1C. 1 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 11.4%, MDD -25.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.9%, drawdown -34.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.4%, MDD -25.7%, Sharpe 0.89, 77% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.5%, MDD -23.9%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 8.9%p (CAGR 11.4%, MDD -25.7%, exposure 77%).
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=35, exitN=52 |
11.4% | -25.7% | 0.89 | 0.44 | 5.9x | 31 | 77% |
| ROC 모멘텀 Hold-like · Exposure 97% n=39, threshold=-0.13 |
13.5% | -23.9% | 0.87 | 0.56 | 8.0x | 17 | 97% |
| EMA 크로스오버 fast=30, slow=50 |
9.2% | -24.8% | 0.74 | 0.37 | 4.3x | 47 | 75% |
| SMA 크로스오버 fast=19, slow=96 |
8.8% | -28.6% | 0.71 | 0.31 | 4.0x | 39 | 73% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
5.2% | -21.6% | 0.51 | 0.24 | 2.3x | 97 | 57% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=2 |
4.3% | -22.8% | 0.43 | 0.19 | 2.0x | 111 | 59% |
| Supertrend period=29, mult=3 |
3.3% | -29.7% | 0.31 | 0.11 | 1.7x | 172 | 67% |
| ADX / DI 방향성 period=26, threshold=38 |
0.3% | -1.8% | 0.27 | 0.18 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.015, maxStep=0.1 |
2.2% | -23.4% | 0.24 | 0.09 | 1.4x | 261 | 64% |
| MACD fast=12, slow=54, signal=15 |
1.0% | -23.4% | 0.15 | 0.04 | 1.2x | 232 | 52% |
| Buy and hold | 12.9% | -34.6% | 0.74 | 0.37 | 7.3x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 52 days