Trend-Following Backtester · Guide · backtest 한국어
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Amundi Index Solutions SICAV - Amundi CAC 40 ESG UCITS ETF Capitalisation backtest
10 trend-following strategies were compared on the full daily history of Amundi Index Solutions SICAV - Amundi CAC 40 ESG UCITS ETF Capitalisation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.9%, MDD -39.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.3%, drawdown -54.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.9%, MDD -39.4%, Sharpe 0.38, 84% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 15.1%p (CAGR 4.9%, MDD -39.4%, exposure 84%).
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 n=190, threshold=-0.11 |
4.9% | -39.4% | 0.38 | 0.13 | 2.5x | 53 | 84% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=26, mult=3.6 |
0.5% | -3.3% | 0.33 | 0.14 | 1.1x | 10 | 2% |
| EMA 크로스오버 fast=68, slow=241 |
3.0% | -36.1% | 0.27 | 0.08 | 1.7x | 15 | 74% |
| SMA 크로스오버 fast=17, slow=163 |
2.5% | -33.8% | 0.25 | 0.07 | 1.6x | 45 | 67% |
| Donchian 채널 돌파 entryN=26, exitN=76 |
2.5% | -39.0% | 0.23 | 0.06 | 1.6x | 49 | 79% |
| 볼린저 밴드 돌파 n=38, k=3.4 |
0.2% | -3.5% | 0.15 | 0.05 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=51, threshold=18 |
-0.1% | -5.0% | -0.06 | -0.02 | 1.0x | 4 | 1% |
| MACD fast=19, slow=57, signal=16 |
-3.1% | -57.2% | -0.17 | -0.05 | 0.6x | 210 | 52% |
| Supertrend period=15, mult=4.9 |
-3.2% | -51.6% | -0.17 | -0.06 | 0.5x | 143 | 61% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-4.5% | -59.8% | -0.28 | -0.08 | 0.4x | 258 | 59% |
| Buy and hold | 5.3% | -54.5% | 0.34 | 0.10 | 2.6x | 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 190-day return is greater than -11%
- Sell — Sell when the 190-day return drops to -11% or below