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 22.3%, drawdown -31.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.7%, MDD -37.9%, Sharpe 1.04, 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 |
19.7% | -37.9% | 1.04 | 0.52 | 6.4x | 15 | 91% |
| EMA 크로스오버 fast=13, slow=133 |
16.9% | -28.5% | 0.99 | 0.59 | 5.0x | 15 | 79% |
| Supertrend period=15, mult=4 |
14.2% | -20.0% | 0.98 | 0.71 | 3.9x | 58 | 63% |
| SMA 크로스오버 fast=15, slow=170 |
14.8% | -28.9% | 0.88 | 0.51 | 4.2x | 13 | 76% |
| ROC 모멘텀 n=92, threshold=-0.04 |
15.1% | -30.1% | 0.86 | 0.50 | 4.2x | 47 | 83% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=2.1 |
11.2% | -18.0% | 0.84 | 0.62 | 3.0x | 54 | 61% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
9.6% | -18.0% | 0.72 | 0.53 | 2.6x | 62 | 61% |
| MACD fast=17, slow=32, signal=19 |
6.5% | -27.6% | 0.51 | 0.23 | 1.9x | 134 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
6.8% | -25.7% | 0.51 | 0.26 | 2.0x | 148 | 62% |
| ADX / DI 방향성 period=8, threshold=35 |
1.7% | -20.0% | 0.26 | 0.09 | 1.2x | 74 | 19% |
| Buy and hold | 22.3% | -31.6% | 1.03 | 0.70 | 7.9x | 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