Trend-Following Backtester · Guide · backtest 한국어
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Amundi Core MSCI Emerging Markets -UCITS ETF DR- Capitalisation backtest
10 trend-following strategies were compared on the full daily history of Amundi Core MSCI Emerging Markets -UCITS ETF DR- Capitalisation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 95% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -32.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.2%, MDD -27.5%, Sharpe 0.50, 95% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 95% n=38, threshold=-0.09 |
7.2% | -27.5% | 0.50 | 0.26 | 1.9x | 15 | 95% |
| ADX / DI 방향성 period=28, threshold=41 |
1.0% | -6.0% | 0.39 | 0.16 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=117, exitN=78 |
3.8% | -21.8% | 0.39 | 0.17 | 1.4x | 11 | 40% |
| SMA 크로스오버 fast=24, slow=88 |
3.5% | -25.7% | 0.32 | 0.13 | 1.4x | 32 | 58% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
1.4% | -14.2% | 0.25 | 0.09 | 1.1x | 16 | 16% |
| EMA 크로스오버 fast=47, slow=88 |
2.0% | -33.2% | 0.21 | 0.06 | 1.2x | 21 | 63% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=3.7 |
0.4% | -3.7% | 0.19 | 0.11 | 1.0x | 6 | 2% |
| Supertrend period=19, mult=3.8 |
-1.2% | -31.7% | -0.04 | -0.04 | 0.9x | 76 | 59% |
| MACD fast=16, slow=57, signal=18 |
-1.5% | -36.8% | -0.07 | -0.04 | 0.9x | 107 | 52% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-4.5% | -43.4% | -0.30 | -0.10 | 0.6x | 119 | 58% |
| Buy and hold | 7.8% | -32.0% | 0.49 | 0.25 | 2.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 38-day return is greater than -9%
- Sell — Sell when the 38-day return drops to -9% or below