Trend-Following Backtester · Guide · backtest 한국어
etf · DE
iShares EUR Govt Bond Climate UCITS ETF Accum Shs EUR backtest
10 trend-following strategies were compared on the full daily history of iShares EUR Govt Bond Climate UCITS ETF Accum Shs EUR. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -2.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.5%, drawdown -22.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.2%, MDD -4.0%, Sharpe 0.08, 45% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR -0.1%, MDD -2.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=72, slow=276 |
0.2% | -4.0% | 0.08 | 0.05 | 1.0x | 2 | 45% |
| SMA 크로스오버 fast=57, slow=208 |
-0.4% | -4.6% | -0.10 | -0.08 | 1.0x | 6 | 41% |
| ROC 모멘텀 n=49, threshold=0.06 |
-0.1% | -2.5% | -0.16 | -0.05 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=84, exitN=18 |
-0.4% | -5.8% | -0.24 | -0.07 | 1.0x | 10 | 13% |
| ADX / DI 방향성 period=14, threshold=39 |
-0.3% | -3.3% | -0.26 | -0.08 | 1.0x | 8 | 4% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
-0.6% | -6.3% | -0.35 | -0.09 | 1.0x | 8 | 10% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=12, mult=3.8 |
-0.7% | -5.1% | -0.46 | -0.14 | 1.0x | 8 | 6% |
| Supertrend period=25, mult=3.4 |
-3.8% | -20.8% | -0.84 | -0.18 | 0.8x | 38 | 50% |
| MACD fast=21, slow=27, signal=19 |
-5.4% | -28.2% | -1.18 | -0.19 | 0.7x | 64 | 48% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-6.1% | -31.3% | -1.33 | -0.20 | 0.7x | 60 | 50% |
| Buy and hold | -2.5% | -22.5% | -0.39 | -0.11 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 72-day EMA crosses above the 276-day EMA
- Sell — Sell when the 72-day EMA falls below the 276-day EMA