SleepWell Trade

Trend-Following Backtester · Guide · backtest 한국어

etf · DE

Deka MSCI Europe UCITS ETF backtest

10 trend-following strategies were compared on the full daily history of Deka MSCI Europe UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.

Data 2009-06-09 ~ 2026-08-31daily bars 4,377 (17.2 years)Costs 0.5%Venue XETRMonthly snapshot 2026-08-31

Results by strategy

1 of 10 beat buy and hold (CAGR 6.6%, drawdown -36.1%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -31.6%, Sharpe 0.51, 99% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 99%
n=10, threshold=-0.1
6.9%-31.6%0.510.223.2x1399%
볼린저 밴드 돌파
n=59, k=3.2
0.7%-6.8%0.300.101.1x65%
EMA 크로스오버
fast=38, slow=169
2.5%-29.7%0.270.091.5x2370%
Donchian 채널 돌파
entryN=13, exitN=77
2.0%-34.5%0.210.061.4x5387%
SMA 크로스오버
fast=55, slow=137
1.8%-44.6%0.210.041.4x3766%
Supertrend
period=19, mult=3.5
-0.3%-30.3%0.03-0.011.0x17761%
ADX / DI 방향성
period=45, threshold=16
-0.2%-9.2%-0.04-0.021.0x166%
Keltner 채널 돌파
emaPeriod=94, atrPeriod=20, mult=3.7
-1.6%-31.7%-0.15-0.050.8x7346%
Parabolic SAR
step=0.005, maxStep=0.1
-2.5%-51.4%-0.20-0.050.6x16759%
MACD
fast=23, slow=57, signal=10
-3.1%-43.9%-0.27-0.070.6x21652%
Buy and hold6.6%-36.1%0.460.183.0x1100%
1x 2010 2013 2016 2019 2022 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -9% -18% -27% -36% 2010 2013 2016 2019 2022 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -31.6% (2015-04-27 → 2016-02-11), recovered after 1,864 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupMore DE assetsAll asset reports

Read next