Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares STOXX Europe 600 Industrial Goods & Services UCITS DE backtest
10 trend-following strategies were compared on the full daily history of iShares STOXX Europe 600 Industrial Goods & Services UCITS DE. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.7%, MDD -24.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.0%, drawdown -55.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -29.0%, Sharpe 0.58, 72% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 6.7%, MDD -24.8%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=126 |
7.8% | -29.0% | 0.58 | 0.27 | 4.0x | 23 | 72% |
| SMA 크로스오버 fast=29, slow=156 |
6.8% | -40.1% | 0.51 | 0.17 | 3.4x | 27 | 70% |
| Donchian 채널 돌파 entryN=23, exitN=60 |
7.2% | -35.8% | 0.50 | 0.20 | 3.6x | 49 | 78% |
| ROC 모멘텀 n=106, threshold=-0.04 |
6.7% | -24.8% | 0.49 | 0.27 | 3.4x | 89 | 77% |
| Supertrend period=19, mult=3.9 |
2.5% | -38.6% | 0.24 | 0.06 | 1.6x | 137 | 64% |
| 볼린저 밴드 돌파 n=29, k=3 |
0.7% | -7.2% | 0.19 | 0.10 | 1.1x | 10 | 4% |
| ADX / DI 방향성 period=34, threshold=21 |
0.3% | -9.4% | 0.13 | 0.04 | 1.1x | 8 | 5% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=3.9 |
0.7% | -28.3% | 0.12 | 0.02 | 1.1x | 74 | 37% |
| MACD fast=19, slow=26, signal=13 |
-2.1% | -42.5% | -0.09 | -0.05 | 0.7x | 280 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-7.3% | -77.5% | -0.45 | -0.09 | 0.2x | 341 | 58% |
| Buy and hold | 7.0% | -55.5% | 0.41 | 0.13 | 3.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 126-day EMA
- Sell — Sell when the 42-day EMA falls below the 126-day EMA