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. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 17.1%, MDD -16.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.5%, drawdown -31.3%).
Sharpe leader (same as main): MACD — CAGR 17.1%, MDD -16.6%, Sharpe 1.35, 46% exposure.
Return/drawdown alternative: MACD — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 14.7%p (CAGR 17.1%, MDD -16.6%, exposure 46%).
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 |
17.1% | -16.6% | 1.35 | 1.03 | 2.4x | 30 | 46% |
| Supertrend period=26, mult=3.7 |
15.5% | -14.5% | 1.16 | 1.07 | 2.2x | 31 | 61% |
| ROC 모멘텀 n=29, threshold=-0.08 |
16.1% | -35.4% | 0.94 | 0.46 | 2.3x | 31 | 89% |
| Donchian 채널 돌파 entryN=15, exitN=23 |
12.8% | -18.2% | 0.94 | 0.71 | 2.0x | 29 | 65% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=9, mult=2.1 |
10.1% | -12.4% | 0.92 | 0.82 | 1.7x | 36 | 46% |
| EMA 크로스오버 fast=12, slow=45 |
12.2% | -12.9% | 0.89 | 0.95 | 1.9x | 29 | 69% |
| 볼린저 밴드 돌파 n=49, k=0.7 |
10.9% | -18.4% | 0.87 | 0.59 | 1.8x | 38 | 60% |
| SMA 크로스오버 fast=47, slow=73 |
11.0% | -27.3% | 0.77 | 0.40 | 1.8x | 14 | 68% |
| ADX / DI 방향성 period=36, threshold=5 |
9.3% | -16.6% | 0.75 | 0.56 | 1.6x | 55 | 59% |
| Parabolic SAR step=0.02, maxStep=0.12 |
2.7% | -33.7% | 0.26 | 0.08 | 1.2x | 104 | 62% |
| Buy and hold | 16.5% | -31.3% | 0.86 | 0.53 | 2.4x | 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