Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World Health Care UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World Health Care 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 8.4%, drawdown -26.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.3%, MDD -26.5%, Sharpe 0.65, 90% 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=142, threshold=-0.09 |
8.3% | -26.5% | 0.65 | 0.31 | 2.3x | 7 | 90% |
| SMA 크로스오버 fast=59, slow=190 |
5.3% | -26.1% | 0.48 | 0.21 | 1.7x | 15 | 71% |
| Donchian 채널 돌파 entryN=19, exitN=82 |
4.6% | -18.0% | 0.42 | 0.26 | 1.6x | 23 | 85% |
| EMA 크로스오버 fast=55, slow=182 |
4.0% | -26.1% | 0.37 | 0.16 | 1.5x | 15 | 77% |
| 볼린저 밴드 돌파 n=50, k=2.9 |
1.3% | -6.3% | 0.35 | 0.21 | 1.1x | 9 | 10% |
| Supertrend period=20, mult=4.5 |
2.3% | -20.8% | 0.27 | 0.11 | 1.3x | 47 | 65% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=14, mult=3.8 |
1.2% | -9.4% | 0.27 | 0.13 | 1.1x | 21 | 19% |
| MACD fast=30, slow=33, signal=27 |
0.3% | -20.0% | 0.07 | 0.01 | 1.0x | 91 | 50% |
| ADX / DI 방향성 period=24, threshold=33 |
0.0% | -1.7% | 0.02 | 0.01 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.1% | -33.3% | -0.27 | -0.09 | 0.7x | 103 | 58% |
| Buy and hold | 8.4% | -26.1% | 0.62 | 0.32 | 2.3x | 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 142-day return is greater than -9%
- Sell — Sell when the 142-day return drops to -9% or below