Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares STOXX Global Select Dividend 100 UCITS ETF (DE) backtest
10 trend-following strategies were compared on the full daily history of iShares STOXX Global Select Dividend 100 UCITS ETF (DE). 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -38.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.2%, MDD -7.1%, Sharpe 0.42, 6% exposure.
CAGR reference leader: Supertrend — CAGR 2.3%, MDD -34.3%, exposure 66%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=59, k=3.2 |
1.2% | -7.1% | 0.42 | 0.17 | 1.2x | 6 | 6% |
| Supertrend period=45, mult=5 |
2.3% | -34.3% | 0.27 | 0.07 | 1.5x | 57 | 66% |
| Donchian 채널 돌파 entryN=30, exitN=45 |
1.9% | -23.3% | 0.24 | 0.08 | 1.4x | 51 | 65% |
| EMA 크로스오버 fast=56, slow=62 |
1.8% | -25.4% | 0.23 | 0.07 | 1.3x | 39 | 65% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=29, mult=3.7 |
0.4% | -5.2% | 0.22 | 0.07 | 1.1x | 6 | 2% |
| SMA 크로스오버 fast=56, slow=215 |
1.5% | -38.4% | 0.20 | 0.04 | 1.3x | 23 | 64% |
| ROC 모멘텀 n=149, threshold=-0.03 |
1.5% | -41.6% | 0.19 | 0.03 | 1.3x | 83 | 76% |
| ADX / DI 방향성 period=32, threshold=22 |
-0.1% | -12.9% | -0.03 | -0.01 | 1.0x | 12 | 7% |
| MACD fast=17, slow=24, signal=19 |
-4.5% | -61.4% | -0.44 | -0.07 | 0.5x | 231 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-6.4% | -71.7% | -0.60 | -0.09 | 0.3x | 307 | 57% |
| Buy and hold | 5.5% | -38.9% | 0.44 | 0.14 | 2.5x | 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 59-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 59-day middle average