Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares Dow Jones Global Titans 50 UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares Dow Jones Global Titans 50 UCITS ETF (DE). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.1%, MDD -29.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -46.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -29.1%, Sharpe 0.67, 88% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 17.2%p (CAGR 9.1%, MDD -29.1%, exposure 88%).
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 n=196, threshold=-0.09 |
9.1% | -29.1% | 0.67 | 0.31 | 5.1x | 51 | 88% |
| Donchian 채널 돌파 entryN=94, exitN=55 |
6.2% | -18.0% | 0.65 | 0.35 | 3.1x | 33 | 56% |
| SMA 크로스오버 fast=28, slow=111 |
7.3% | -27.2% | 0.64 | 0.27 | 3.7x | 37 | 68% |
| EMA 크로스오버 fast=30, slow=84 |
6.8% | -25.4% | 0.60 | 0.27 | 3.4x | 43 | 71% |
| 볼린저 밴드 돌파 n=55, k=0.7 |
3.7% | -21.7% | 0.40 | 0.17 | 2.0x | 131 | 58% |
| Supertrend period=19, mult=4.8 |
3.6% | -35.6% | 0.35 | 0.10 | 1.9x | 85 | 66% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=1.2 |
2.3% | -22.7% | 0.27 | 0.10 | 1.5x | 163 | 58% |
| MACD fast=19, slow=48, signal=22 |
0.6% | -38.9% | 0.11 | 0.02 | 1.1x | 184 | 51% |
| Parabolic SAR step=0.005, maxStep=0.1 |
0.6% | -35.3% | 0.11 | 0.02 | 1.1x | 179 | 59% |
| ADX / DI 방향성 period=27, threshold=12 |
-2.1% | -49.8% | -0.20 | -0.04 | 0.7x | 220 | 41% |
| Buy and hold | 9.1% | -46.3% | 0.57 | 0.20 | 5.1x | 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 196-day return is greater than -9%
- Sell — Sell when the 196-day return drops to -9% or below