Trend-Following Backtester · Guide · backtest 한국어
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Amundi ETF Leveraged MSCI USA Daily backtest
9 trend-following strategies were compared on the full daily history of Amundi ETF Leveraged MSCI USA Daily. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 9 beat buy and hold (CAGR -8.0%, drawdown -99.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -7.9%, MDD -99.8%, Sharpe 0.72, 98% 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 98% n=9, threshold=-0.15 |
-7.9% | -99.8% | 0.72 | -0.08 | 0.2x | 51 | 98% |
| Donchian 채널 돌파 Hold-like · Exposure 98% entryN=2, exitN=124 |
-8.2% | -99.8% | 0.72 | -0.08 | 0.2x | 35 | 98% |
| SMA 크로스오버 fast=29, slow=69 |
-20.9% | -99.8% | 0.72 | -0.21 | 0.0x | 65 | 66% |
| MACD fast=10, slow=43, signal=13 |
-61.4% | -100.3% | 0.63 | -0.61 | 0.0x | 236 | 59% |
| Parabolic SAR step=0.04, maxStep=0.1 |
-64.9% | -100.2% | 0.63 | -0.65 | 0.0x | 332 | 54% |
| Supertrend period=5, mult=2.4 |
-82.1% | -100.1% | 0.53 | -0.82 | 0.0x | 238 | 57% |
| 볼린저 밴드 돌파 n=15, k=0.9 |
-83.7% | -100.1% | 0.53 | -0.84 | 0.0x | 388 | 52% |
| ADX / DI 방향성 period=9, threshold=12 |
-84.0% | -100.0% | 0.53 | -0.84 | 0.0x | 448 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=16, mult=2.2 |
-91.9% | -100.0% | 0.41 | -0.92 | 0.0x | 108 | 39% |
| Buy and hold | -8.0% | -99.8% | 0.72 | -0.08 | 0.2x | 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 9-day return is greater than -15%
- Sell — Sell when the 9-day return drops to -15% or below