Trend-Following Backtester · Guide · backtest 한국어
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Amundi STOXX Europe 600 ESG ETF EUR C backtest
10 trend-following strategies were compared on the full daily history of Amundi STOXX Europe 600 ESG ETF EUR C. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -35.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.6%, MDD -32.7%, Sharpe 0.49, 82% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=113, threshold=-0.04 |
5.6% | -32.7% | 0.49 | 0.17 | 2.5x | 73 | 82% |
| 볼린저 밴드 돌파 n=51, k=3.1 |
1.0% | -5.5% | 0.46 | 0.17 | 1.2x | 4 | 5% |
| SMA 크로스오버 fast=58, slow=200 |
4.7% | -38.0% | 0.42 | 0.12 | 2.2x | 19 | 74% |
| EMA 크로스오버 fast=36, slow=174 |
3.8% | -33.1% | 0.36 | 0.11 | 1.9x | 29 | 76% |
| Donchian 채널 돌파 entryN=21, exitN=45 |
2.9% | -24.9% | 0.30 | 0.12 | 1.6x | 67 | 78% |
| ADX / DI 방향성 period=24, threshold=31 |
0.2% | -2.4% | 0.14 | 0.07 | 1.0x | 6 | 2% |
| Supertrend period=29, mult=5 |
0.6% | -41.6% | 0.11 | 0.02 | 1.1x | 129 | 68% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-1.1% | -34.1% | -0.04 | -0.03 | 0.8x | 105 | 69% |
| MACD fast=16, slow=49, signal=17 |
-1.6% | -32.7% | -0.11 | -0.05 | 0.8x | 216 | 51% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=30, mult=4 |
-1.5% | -31.6% | -0.16 | -0.05 | 0.8x | 83 | 41% |
| Buy and hold | 8.8% | -35.2% | 0.59 | 0.25 | 4.1x | 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 113-day return is greater than -4%
- Sell — Sell when the 113-day return drops to -4% or below