Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares Core EURO STOXX 50 UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares Core EURO STOXX 50 UCITS ETF (DE). 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.6%, MDD -38.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.1%, drawdown -58.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.3%, MDD -1.6%, Sharpe 0.40, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.6%, MDD -38.3%, exposure 68%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 56.7%p (CAGR 2.6%, MDD -38.3%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=3.2 |
0.3% | -1.6% | 0.40 | 0.16 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=88, exitN=181 |
2.6% | -38.3% | 0.25 | 0.07 | 1.6x | 15 | 68% |
| ADX / DI 방향성 period=27, threshold=30 |
0.2% | -3.2% | 0.19 | 0.07 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=56, slow=92 |
1.7% | -28.6% | 0.19 | 0.06 | 1.4x | 39 | 64% |
| SMA 크로스오버 fast=47, slow=200 |
1.3% | -45.4% | 0.16 | 0.03 | 1.3x | 25 | 63% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=17, mult=3 |
0.1% | -1.6% | 0.11 | 0.04 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=113, threshold=-0.04 |
-0.5% | -48.8% | 0.03 | -0.01 | 0.9x | 145 | 71% |
| Supertrend period=29, mult=3.6 |
-3.7% | -64.9% | -0.19 | -0.06 | 0.5x | 133 | 62% |
| MACD fast=16, slow=53, signal=16 |
-4.0% | -59.9% | -0.25 | -0.07 | 0.5x | 228 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.1% | -61.3% | -0.26 | -0.07 | 0.5x | 178 | 57% |
| Buy and hold | 2.1% | -58.3% | 0.20 | 0.04 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 17-day middle average