Trend-Following Backtester · Guide · backtest 한국어
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Amundi CAC 40 Daily (-2X) Inverse UCITS ETF -Acc- backtest
10 trend-following strategies were compared on the full daily history of Amundi CAC 40 Daily (-2X) Inverse UCITS ETF -Acc-. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -1.8%, MDD -43.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.9%, drawdown -99.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -0.6%, MDD -46.4%, Sharpe 0.06, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.3%p higher than buy and hold, while drawdown improves by 53.2%p (CAGR -1.8%, MDD -43.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=3.5 |
-0.6% | -46.4% | 0.06 | -0.01 | 0.9x | 12 | 4% |
| ADX / DI 방향성 period=32, threshold=22 |
-1.8% | -43.2% | -0.13 | -0.04 | 0.7x | 4 | 1% |
| ROC 모멘텀 n=120, threshold=0.13 |
-6.4% | -86.2% | -0.13 | -0.07 | 0.3x | 96 | 12% |
| EMA 크로스오버 fast=17, slow=171 |
-7.9% | -89.8% | -0.17 | -0.09 | 0.2x | 30 | 16% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=28, mult=4 |
-6.2% | -73.4% | -0.18 | -0.08 | 0.3x | 36 | 8% |
| SMA 크로스오버 fast=14, slow=132 |
-9.8% | -92.3% | -0.21 | -0.11 | 0.1x | 46 | 23% |
| Donchian 채널 돌파 entryN=98, exitN=14 |
-7.3% | -81.3% | -0.21 | -0.09 | 0.2x | 32 | 9% |
| Supertrend period=28, mult=5 |
-13.5% | -95.2% | -0.39 | -0.14 | 0.1x | 76 | 25% |
| MACD fast=20, slow=52, signal=22 |
-18.5% | -98.8% | -0.44 | -0.19 | 0.0x | 185 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-18.4% | -98.8% | -0.50 | -0.19 | 0.0x | 288 | 39% |
| Buy and hold | -21.9% | -99.6% | -0.38 | -0.22 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 50-day middle average