Trend-Following Backtester · Guide · backtest 한국어
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Amundi Index Solutions - Euro STOXX 50 DR UCITS ETF EUR Cap backtest
10 trend-following strategies were compared on the full daily history of Amundi Index Solutions - Euro STOXX 50 DR UCITS ETF EUR Cap. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -43.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -41.7%, Sharpe 0.42, 67% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=63, slow=130 |
5.1% | -41.7% | 0.42 | 0.12 | 2.4x | 31 | 67% |
| EMA 크로스오버 fast=21, slow=165 |
4.8% | -26.6% | 0.40 | 0.18 | 2.3x | 33 | 73% |
| Donchian 채널 돌파 entryN=82, exitN=53 |
3.6% | -33.9% | 0.36 | 0.11 | 1.9x | 35 | 55% |
| ADX / DI 방향성 period=31, threshold=27 |
0.4% | -3.3% | 0.30 | 0.13 | 1.1x | 4 | 2% |
| ROC 모멘텀 n=93, threshold=-0.04 |
3.3% | -37.0% | 0.29 | 0.09 | 1.8x | 115 | 79% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
0.8% | -12.4% | 0.18 | 0.06 | 1.2x | 16 | 11% |
| MACD fast=19, slow=59, signal=14 |
-0.6% | -34.0% | 0.01 | -0.02 | 0.9x | 204 | 50% |
| Supertrend period=30, mult=4.9 |
-1.0% | -53.0% | 0.01 | -0.02 | 0.8x | 141 | 64% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=26, mult=4 |
-0.3% | -15.3% | -0.07 | -0.02 | 1.0x | 30 | 7% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-2.8% | -53.3% | -0.15 | -0.05 | 0.6x | 166 | 58% |
| Buy and hold | 7.5% | -43.9% | 0.44 | 0.17 | 3.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 63-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 63-day average falls below the 130-day average