Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World Value UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World Value UCITS ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -35.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.5%, MDD -33.3%, Sharpe 0.58, 92% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=106, threshold=-0.12 |
8.5% | -33.3% | 0.58 | 0.26 | 2.7x | 19 | 92% |
| Donchian 채널 돌파 entryN=22, exitN=57 |
6.6% | -23.7% | 0.50 | 0.28 | 2.2x | 33 | 82% |
| EMA 크로스오버 fast=41, slow=217 |
5.8% | -34.6% | 0.46 | 0.17 | 2.0x | 19 | 73% |
| SMA 크로스오버 fast=60, slow=188 |
6.0% | -39.5% | 0.45 | 0.15 | 2.0x | 13 | 72% |
| 볼린저 밴드 돌파 n=57, k=3 |
2.5% | -15.6% | 0.32 | 0.16 | 1.3x | 12 | 13% |
| ADX / DI 방향성 period=32, threshold=17 |
1.4% | -15.4% | 0.21 | 0.09 | 1.2x | 30 | 14% |
| Supertrend period=15, mult=4.7 |
1.6% | -39.6% | 0.18 | 0.04 | 1.2x | 65 | 56% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=20, mult=3.3 |
0.1% | -39.0% | 0.06 | 0.00 | 1.0x | 61 | 41% |
| MACD fast=16, slow=22, signal=14 |
-2.5% | -54.6% | -0.09 | -0.04 | 0.7x | 184 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.8% | -62.2% | -0.23 | -0.09 | 0.5x | 117 | 59% |
| Buy and hold | 9.1% | -35.3% | 0.44 | 0.26 | 2.8x | 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 106-day return is greater than -12%
- Sell — Sell when the 106-day return drops to -12% or below