Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers II EUR Overnight Rate Swap UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers II EUR Overnight Rate Swap UCITS ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -1.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR -0.3%, drawdown -8.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.4%, MDD -7.9%, Sharpe -0.15, 24% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.1%, MDD -1.0%, exposure 0%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 0.7%p (CAGR -0.1%, MDD -1.0%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=62, slow=207 |
-0.4% | -7.9% | -0.15 | -0.05 | 0.9x | 15 | 24% |
| EMA 크로스오버 fast=78, slow=278 |
-0.7% | -11.4% | -0.24 | -0.06 | 0.9x | 19 | 23% |
| ROC 모멘텀 n=73, threshold=0.07 |
-0.1% | -1.0% | -0.33 | -0.05 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=91, exitN=71 |
-0.9% | -16.0% | -0.45 | -0.06 | 0.8x | 13 | 21% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=19, mult=4 |
-0.9% | -15.0% | -0.45 | -0.06 | 0.9x | 14 | 6% |
| 볼린저 밴드 돌파 n=41, k=2.2 |
-0.9% | -15.1% | -0.48 | -0.06 | 0.8x | 16 | 9% |
| ADX / DI 방향성 period=30, threshold=41 |
-0.5% | -10.5% | -0.68 | -0.05 | 0.9x | 18 | 9% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-2.2% | -33.7% | -1.03 | -0.06 | 0.7x | 55 | 31% |
| Supertrend period=18, mult=4.8 |
-2.4% | -36.2% | -1.12 | -0.07 | 0.6x | 64 | 36% |
| MACD fast=41, slow=93, signal=32 |
-4.1% | -53.8% | -1.79 | -0.08 | 0.5x | 123 | 54% |
| Buy and hold | -0.3% | -8.6% | -0.10 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 62-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 62-day average falls below the 207-day average