Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares STOXX Europe 600 Banks UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares STOXX Europe 600 Banks UCITS ETF (DE). 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.8%, MDD -4.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.1%, drawdown -81.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.2%, MDD -39.8%, Sharpe 0.46, 52% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.4%, MDD -38.9%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 0.8%, MDD -4.8%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=84, exitN=78 |
6.2% | -39.8% | 0.46 | 0.16 | 3.1x | 25 | 52% |
| SMA 크로스오버 fast=24, slow=270 |
6.4% | -38.9% | 0.45 | 0.17 | 3.2x | 23 | 54% |
| ROC 모멘텀 n=171, threshold=0.04 |
5.1% | -39.6% | 0.40 | 0.13 | 2.5x | 115 | 48% |
| EMA 크로스오버 fast=49, slow=210 |
5.3% | -40.5% | 0.39 | 0.13 | 2.6x | 21 | 55% |
| 볼린저 밴드 돌파 n=17, k=3 |
0.8% | -4.8% | 0.29 | 0.17 | 1.2x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=12, mult=3.1 |
1.4% | -43.3% | 0.17 | 0.03 | 1.3x | 73 | 32% |
| Supertrend period=16, mult=4.9 |
1.3% | -61.1% | 0.16 | 0.02 | 1.3x | 77 | 53% |
| ADX / DI 방향성 period=23, threshold=35 |
0.3% | -7.9% | 0.13 | 0.04 | 1.1x | 6 | 2% |
| MACD fast=22, slow=36, signal=21 |
0.4% | -66.3% | 0.11 | 0.01 | 1.1x | 172 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.2% | -79.5% | -0.14 | -0.05 | 0.5x | 175 | 56% |
| Buy and hold | -0.1% | -81.7% | 0.15 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 84 days
- Sell — Sell when price breaks below the lowest low of the last 78 days