Trend-Following Backtester · Guide · backtest 한국어
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Amundi Index Solutions - S&P 500 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Amundi Index Solutions - S&P 500 UCITS ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.8%, drawdown -33.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -28.6%, Sharpe 0.90, 89% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=77 |
12.1% | -28.6% | 0.90 | 0.42 | 6.3x | 33 | 89% |
| EMA 크로스오버 fast=38, slow=39 |
9.2% | -24.2% | 0.78 | 0.38 | 4.2x | 47 | 75% |
| SMA 크로스오버 fast=58, slow=120 |
9.5% | -33.7% | 0.76 | 0.28 | 4.3x | 27 | 74% |
| ROC 모멘텀 n=115, threshold=-0.02 |
7.9% | -28.3% | 0.65 | 0.28 | 3.4x | 95 | 81% |
| Supertrend period=19, mult=3.9 |
4.7% | -20.5% | 0.46 | 0.23 | 2.1x | 157 | 67% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
3.9% | -20.2% | 0.43 | 0.19 | 1.9x | 96 | 56% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=2.2 |
3.5% | -20.8% | 0.39 | 0.17 | 1.7x | 118 | 58% |
| MACD fast=11, slow=68, signal=24 |
2.0% | -18.9% | 0.25 | 0.11 | 1.4x | 192 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.6% | -26.1% | 0.19 | 0.06 | 1.3x | 154 | 63% |
| ADX / DI 방향성 period=39, threshold=29 |
0.1% | -3.8% | 0.10 | 0.03 | 1.0x | 2 | 1% |
| Buy and hold | 14.8% | -33.7% | 0.92 | 0.44 | 9.2x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 77 days