Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Deka MSCI World UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Deka MSCI World UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.5%, MDD -24.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.0%, drawdown -33.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -23.9%, Sharpe 0.91, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 10.5%, MDD -24.4%, exposure 86%).
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=11, threshold=-0.09 |
12.9% | -23.9% | 0.91 | 0.54 | 2.6x | 11 | 98% |
| Donchian 채널 돌파 entryN=21, exitN=74 |
10.5% | -24.4% | 0.86 | 0.43 | 2.2x | 13 | 86% |
| EMA 크로스오버 fast=12, slow=44 |
6.7% | -16.3% | 0.64 | 0.41 | 1.7x | 35 | 75% |
| SMA 크로스오버 fast=11, slow=101 |
6.6% | -22.3% | 0.63 | 0.30 | 1.7x | 23 | 73% |
| Supertrend period=29, mult=3.4 |
5.1% | -15.5% | 0.52 | 0.33 | 1.5x | 66 | 68% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=3.6 |
3.2% | -11.3% | 0.45 | 0.29 | 1.3x | 31 | 46% |
| ADX / DI 방향성 period=25, threshold=32 |
0.5% | -1.7% | 0.37 | 0.30 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=58, k=2.1 |
2.2% | -16.7% | 0.33 | 0.13 | 1.2x | 27 | 40% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.1% | -20.2% | 0.26 | 0.10 | 1.2x | 75 | 65% |
| MACD fast=13, slow=56, signal=16 |
1.6% | -16.6% | 0.21 | 0.10 | 1.1x | 108 | 53% |
| Buy and hold | 11.0% | -33.9% | 0.73 | 0.32 | 2.3x | 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 11-day return is greater than -9%
- Sell — Sell when the 11-day return drops to -9% or below