Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World Information Technology UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World Information Technology UCITS ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.7%, drawdown -31.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.2%, MDD -37.9%, Sharpe 1.06, 91% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=79 |
20.2% | -37.9% | 1.06 | 0.53 | 6.7x | 15 | 91% |
| EMA 크로스오버 fast=13, slow=133 |
17.4% | -28.5% | 1.01 | 0.61 | 5.3x | 15 | 79% |
| Supertrend period=15, mult=4 |
13.6% | -20.0% | 0.95 | 0.68 | 3.8x | 59 | 63% |
| SMA 크로스오버 fast=15, slow=170 |
15.3% | -28.9% | 0.90 | 0.53 | 4.4x | 13 | 76% |
| ROC 모멘텀 n=92, threshold=-0.04 |
15.6% | -30.1% | 0.88 | 0.52 | 4.5x | 47 | 84% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=2.1 |
10.6% | -18.0% | 0.80 | 0.59 | 2.8x | 56 | 61% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
8.9% | -18.0% | 0.67 | 0.49 | 2.4x | 65 | 61% |
| Parabolic SAR step=0.01, maxStep=0.12 |
6.3% | -25.7% | 0.48 | 0.24 | 1.9x | 150 | 62% |
| MACD fast=17, slow=32, signal=19 |
5.9% | -27.6% | 0.48 | 0.22 | 1.8x | 136 | 51% |
| ADX / DI 방향성 period=8, threshold=35 |
1.7% | -20.0% | 0.26 | 0.08 | 1.2x | 74 | 19% |
| Buy and hold | 22.7% | -31.6% | 1.05 | 0.72 | 8.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 79 days