Trend-Following Backtester · Guide · backtest 한국어
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Amundi MSCI Emerging Markets Swap -UCITS ETF EUR C- Capitalisation backtest
10 trend-following strategies were compared on the full daily history of Amundi MSCI Emerging Markets Swap -UCITS ETF EUR C- Capitalisation. 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 5.8%, drawdown -35.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.6%, MDD -22.9%, Sharpe 0.39, 45% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -33.4%, exposure 61%.
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=105, exitN=78 |
3.6% | -22.9% | 0.39 | 0.16 | 1.7x | 21 | 45% |
| SMA 크로스오버 fast=50, slow=211 |
3.8% | -33.4% | 0.34 | 0.11 | 1.8x | 19 | 61% |
| EMA 크로스오버 fast=22, slow=108 |
3.1% | -31.7% | 0.31 | 0.10 | 1.6x | 41 | 63% |
| 볼린저 밴드 돌파 n=49, k=2.9 |
1.1% | -14.6% | 0.24 | 0.08 | 1.2x | 18 | 12% |
| ROC 모멘텀 n=130, threshold=-0.02 |
-0.1% | -56.7% | 0.05 | -0.00 | 1.0x | 117 | 66% |
| Supertrend period=43, mult=5 |
-0.8% | -39.4% | -0.00 | -0.02 | 0.9x | 118 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=3.5 |
-0.5% | -27.8% | -0.01 | -0.02 | 0.9x | 80 | 36% |
| ADX / DI 방향성 period=35, threshold=18 |
-0.5% | -16.4% | -0.10 | -0.03 | 0.9x | 20 | 7% |
| MACD fast=23, slow=55, signal=14 |
-2.2% | -40.0% | -0.14 | -0.06 | 0.7x | 177 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.1% | -59.9% | -0.21 | -0.05 | 0.6x | 135 | 56% |
| Buy and hold | 5.8% | -35.0% | 0.40 | 0.17 | 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 105 days
- Sell — Sell when price breaks below the lowest low of the last 78 days