Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers MSCI World ESG UCITS ETF Accum Shs -1C- USD backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI World ESG UCITS ETF Accum Shs -1C- USD. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.3%, MDD -19.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.9%, drawdown -33.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -19.2%, Sharpe 0.80, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 14.0%p (CAGR 11.3%, MDD -19.2%, exposure 84%).
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=46 |
11.3% | -19.2% | 0.80 | 0.59 | 2.4x | 25 | 84% |
| Supertrend period=29, mult=4.3 |
9.1% | -19.8% | 0.73 | 0.46 | 2.1x | 45 | 67% |
| EMA 크로스오버 fast=11, slow=113 |
9.4% | -25.5% | 0.72 | 0.37 | 2.1x | 19 | 74% |
| SMA 크로스오버 fast=56, slow=214 |
9.2% | -33.2% | 0.64 | 0.28 | 2.1x | 9 | 70% |
| ROC 모멘텀 n=51, threshold=-0.04 |
8.2% | -34.2% | 0.61 | 0.24 | 1.9x | 43 | 85% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=25, mult=3.2 |
6.4% | -21.8% | 0.57 | 0.29 | 1.7x | 23 | 56% |
| ADX / DI 방향성 period=18, threshold=37 |
0.9% | -1.9% | 0.54 | 0.50 | 1.1x | 2 | 3% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
4.0% | -18.8% | 0.39 | 0.21 | 1.4x | 59 | 57% |
| MACD fast=15, slow=73, signal=12 |
2.0% | -15.9% | 0.22 | 0.13 | 1.2x | 110 | 54% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.2% | -19.1% | 0.16 | 0.06 | 1.1x | 75 | 61% |
| Buy and hold | 10.9% | -33.2% | 0.65 | 0.33 | 2.4x | 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 46 days