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Amundi MSCI Em Asia Shs -UCITS ETF- Capitalisation backtest

10 trend-following strategies were compared on the full daily history of Amundi MSCI Em Asia Shs -UCITS ETF- Capitalisation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2011-04-28 ~ 2026-07-31daily bars 3,902 (15.3 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.7%, drawdown -33.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -22.0%, Sharpe 0.47, 45% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=121, exitN=76
4.9%-22.0%0.470.222.1x2145%
SMA 크로스오버
fast=41, slow=62
4.4%-37.7%0.380.121.9x6962%
EMA 크로스오버
fast=46, slow=216
3.0%-34.2%0.280.091.6x2164%
볼린저 밴드 돌파
n=48, k=2.5
1.7%-16.8%0.260.101.3x3421%
MACD
fast=23, slow=69, signal=25
2.0%-31.3%0.220.061.3x12453%
ROC 모멘텀
n=120, threshold=0.02
1.1%-42.0%0.150.031.2x13354%
ADX / DI 방향성
period=36, threshold=21
-0.1%-12.3%-0.00-0.011.0x83%
Keltner 채널 돌파
emaPeriod=40, atrPeriod=18, mult=2.7
-0.7%-37.0%-0.01-0.020.9x11643%
Supertrend
period=29, mult=4.6
-1.3%-45.0%-0.03-0.030.8x13060%
Parabolic SAR
step=0.005, maxStep=0.34
-2.4%-52.2%-0.12-0.050.7x13458%
Buy and hold7.7%-33.9%0.480.233.1x1100%
1x 2012 2014 2016 2018 2020 2022 2024 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -8% -17% -25% -34% 2012 2014 2016 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -22.0% (2012-03-14 → 2014-05-16), recovered after 1,045 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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