Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Invesco MDAX UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco MDAX UCITS ETF. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 3.6%, MDD -25.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -40.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 3.6%, MDD -25.8%, Sharpe 0.34, 59% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 14.2%p (CAGR 3.6%, MDD -25.8%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.04, maxStep=0.04 |
3.6% | -25.8% | 0.34 | 0.14 | 1.3x | 72 | 59% |
| MACD fast=18, slow=22, signal=13 |
3.4% | -26.8% | 0.34 | 0.13 | 1.3x | 97 | 48% |
| Donchian 채널 돌파 entryN=5, exitN=54 |
2.8% | -44.2% | 0.25 | 0.06 | 1.2x | 37 | 89% |
| Supertrend period=28, mult=4.3 |
2.3% | -28.7% | 0.23 | 0.08 | 1.2x | 45 | 59% |
| 볼린저 밴드 돌파 n=35, k=3.1 |
0.3% | -5.0% | 0.14 | 0.06 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=24, slow=112 |
-0.2% | -32.5% | 0.05 | -0.01 | 1.0x | 23 | 60% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=11, mult=1.3 |
-0.4% | -15.0% | 0.01 | -0.02 | 1.0x | 92 | 40% |
| SMA 크로스오버 fast=7, slow=165 |
-1.1% | -34.3% | -0.02 | -0.03 | 0.9x | 29 | 57% |
| ADX / DI 방향성 period=17, threshold=16 |
-0.8% | -26.2% | -0.03 | -0.03 | 0.9x | 90 | 32% |
| ROC 모멘텀 n=126, threshold=0.09 |
-0.7% | -18.0% | -0.04 | -0.04 | 1.0x | 46 | 28% |
| Buy and hold | 3.7% | -40.0% | 0.28 | 0.09 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots