Trend-Following Backtester · Guide · backtest 한국어
etf · DK
XACT OMXC25 ESG (UCITS ETF) backtest
10 trend-following strategies were compared on the full daily history of XACT OMXC25 ESG (UCITS ETF). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -28.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -27.9%, Sharpe 0.58, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=53, slow=166 |
7.1% | -27.9% | 0.58 | 0.25 | 1.7x | 13 | 59% |
| ROC 모멘텀 n=122, threshold=-0.03 |
6.0% | -25.3% | 0.48 | 0.24 | 1.5x | 43 | 71% |
| 볼린저 밴드 돌파 n=26, k=1.1 |
4.2% | -21.6% | 0.44 | 0.19 | 1.4x | 80 | 51% |
| EMA 크로스오버 fast=57, slow=165 |
4.8% | -27.9% | 0.42 | 0.17 | 1.4x | 11 | 60% |
| Donchian 채널 돌파 entryN=68, exitN=81 |
4.0% | -17.7% | 0.39 | 0.23 | 1.3x | 11 | 53% |
| ADX / DI 방향성 period=24, threshold=12 |
3.4% | -16.4% | 0.36 | 0.21 | 1.3x | 86 | 47% |
| Supertrend period=22, mult=3.6 |
3.7% | -30.7% | 0.35 | 0.12 | 1.3x | 41 | 63% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=8, mult=2.6 |
2.1% | -13.1% | 0.28 | 0.16 | 1.2x | 34 | 34% |
| Parabolic SAR step=0.01, maxStep=0.32 |
1.9% | -34.4% | 0.22 | 0.06 | 1.2x | 106 | 56% |
| MACD fast=6, slow=56, signal=19 |
-0.9% | -37.6% | -0.03 | -0.03 | 0.9x | 114 | 49% |
| Buy and hold | 9.7% | -28.8% | 0.61 | 0.34 | 2.0x | 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 53-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 53-day average falls below the 166-day average