Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers Stoxx Europe 600 UCITS ETF Capitalisation 1C backtest
10 trend-following strategies were compared on the full daily history of Xtrackers Stoxx Europe 600 UCITS ETF Capitalisation 1C. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.4%, MDD -28.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -36.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.6%, MDD -34.7%, Sharpe 0.69, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 1.4%p (CAGR 8.4%, MDD -28.8%, exposure 91%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.09 |
10.6% | -34.7% | 0.69 | 0.30 | 5.8x | 23 | 99% |
| Donchian 채널 돌파 entryN=22, exitN=130 |
8.4% | -28.8% | 0.63 | 0.29 | 4.1x | 23 | 91% |
| EMA 크로스오버 fast=47, slow=119 |
6.2% | -30.5% | 0.54 | 0.20 | 2.9x | 25 | 77% |
| SMA 크로스오버 fast=18, slow=229 |
5.0% | -24.4% | 0.46 | 0.21 | 2.4x | 27 | 74% |
| 볼린저 밴드 돌파 n=55, k=3.1 |
0.8% | -6.6% | 0.41 | 0.13 | 1.2x | 4 | 5% |
| Supertrend period=33, mult=4.6 |
3.7% | -30.9% | 0.36 | 0.12 | 1.9x | 97 | 70% |
| Parabolic SAR step=0.015, maxStep=0.02 |
2.1% | -25.3% | 0.23 | 0.08 | 1.4x | 103 | 70% |
| MACD fast=22, slow=33, signal=24 |
-0.2% | -32.9% | 0.03 | -0.01 | 1.0x | 188 | 51% |
| ADX / DI 방향성 period=39, threshold=23 |
0.0% | -7.8% | 0.01 | 0.00 | 1.0x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=3.7 |
-0.8% | -33.2% | -0.06 | -0.02 | 0.9x | 77 | 38% |
| Buy and hold | 10.5% | -36.1% | 0.66 | 0.29 | 5.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 7-day return is greater than -9%
- Sell — Sell when the 7-day return drops to -9% or below