Trend-Following Backtester · Guide · backtest 한국어

etf · DE

iShares STOXX Europe 600 Insurance UCITS ETF (DE) backtest

10 trend-following strategies were compared on the full daily history of iShares STOXX Europe 600 Insurance UCITS ETF (DE). 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.6%, MDD -47.1%).

Data 2008-01-02 ~ 2026-07-31daily bars 4,717 (18.6 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 4.3%, drawdown -69.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.6%, MDD -47.1%, Sharpe 0.45, 85% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 6.6%, MDD -47.1%, exposure 85%).

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
n=126, threshold=-0.11
6.6%-47.1%0.450.143.3x5585%
SMA 크로스오버
fast=77, slow=182
5.5%-49.1%0.410.112.7x2367%
EMA 크로스오버
fast=59, slow=147
3.6%-41.8%0.320.091.9x2169%
Donchian 채널 돌파
entryN=96, exitN=72
1.5%-35.6%0.180.041.3x3352%
ADX / DI 방향성
period=38, threshold=22
0.0%-10.0%0.030.001.0x41%
볼린저 밴드 돌파
n=37, k=1.9
-1.5%-43.6%-0.09-0.030.8x11332%
MACD
fast=19, slow=54, signal=16
-2.8%-48.5%-0.12-0.060.6x21650%
Supertrend
period=14, mult=2.2
-4.5%-61.5%-0.18-0.070.4x32159%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=24, mult=2.9
-2.7%-50.0%-0.21-0.050.6x10340%
Parabolic SAR
step=0.005, maxStep=0.2
-4.5%-61.0%-0.22-0.070.4x17557%
Buy and hold4.3%-69.5%0.290.062.2x1100%
1x 2009 2012 2015 2018 2021 2024 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -35% -52% -69% 2009 2012 2015 2018 2021 2024 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -47.1% (2015-04-10 → 2020-10-29), recovered after 3,610 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 setupAll asset reports

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