Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers NASDAQ 100 UCITS ETF Accum-1C- USD backtest
10 trend-following strategies were compared on the full daily history of Xtrackers NASDAQ 100 UCITS ETF Accum-1C- USD. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.3%, MDD -14.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.1%, drawdown -31.3%).
Sharpe leader (same as main): MACD — CAGR 17.3%, MDD -16.6%, Sharpe 1.36, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 14.7%p (CAGR 16.3%, MDD -14.5%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=27, slow=41, signal=33 |
17.3% | -16.6% | 1.36 | 1.05 | 2.4x | 30 | 47% |
| Supertrend period=26, mult=3.7 |
16.3% | -14.5% | 1.21 | 1.12 | 2.3x | 30 | 61% |
| Donchian 채널 돌파 entryN=15, exitN=23 |
13.8% | -18.2% | 1.00 | 0.76 | 2.0x | 28 | 66% |
| EMA 크로스오버 fast=12, slow=45 |
13.5% | -12.3% | 0.97 | 1.10 | 2.0x | 26 | 69% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=9, mult=2.1 |
10.3% | -12.4% | 0.93 | 0.83 | 1.7x | 36 | 47% |
| 볼린저 밴드 돌파 n=49, k=0.7 |
11.8% | -18.4% | 0.93 | 0.64 | 1.8x | 36 | 60% |
| ROC 모멘텀 n=29, threshold=-0.08 |
15.8% | -35.4% | 0.92 | 0.45 | 2.2x | 30 | 89% |
| ADX / DI 방향성 period=36, threshold=5 |
10.3% | -16.6% | 0.82 | 0.62 | 1.7x | 52 | 59% |
| SMA 크로스오버 fast=47, slow=73 |
10.7% | -27.3% | 0.75 | 0.39 | 1.8x | 13 | 68% |
| Parabolic SAR step=0.02, maxStep=0.12 |
3.4% | -33.7% | 0.31 | 0.10 | 1.2x | 102 | 62% |
| Buy and hold | 16.1% | -31.3% | 0.84 | 0.51 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (27/41) crosses above its 33-day signal line
- Sell — Sell when the MACD line crosses back below the signal line