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Amundi EUR Overnight Return UCITS ETF -Acc- backtest

10 trend-following strategies were compared on the full daily history of Amundi EUR Overnight Return UCITS ETF -Acc-. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2008-01-02 ~ 2026-07-31daily bars 4,750 (18.6 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 0.6%, drawdown -5.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.5%, MDD -3.4%, Sharpe 1.01, 40% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 0.5%, MDD -4.2%, exposure 53%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=108, exitN=28
0.5%-3.4%1.010.141.1x740%
ADX / DI 방향성
period=109, threshold=35
0.4%-2.8%0.760.141.1x722%
SMA 크로스오버
fast=43, slow=113
0.5%-4.2%0.640.121.1x753%
EMA 크로스오버
fast=59, slow=68
0.5%-5.6%0.540.081.1x754%
Keltner 채널 돌파
emaPeriod=24, atrPeriod=18, mult=3.5
0.3%-8.1%0.370.031.1x1131%
ROC 모멘텀
Hold-like · Exposure 99%
n=67, threshold=-0.01
0.3%-9.0%0.320.031.1x799%
Supertrend
period=10, mult=4.4
0.2%-8.9%0.270.031.0x1558%
볼린저 밴드 돌파
n=57, k=2.8
0.2%-6.9%0.260.031.0x921%
Parabolic SAR
step=0.005, maxStep=0.1
-1.6%-28.5%-1.27-0.060.7x7548%
MACD
fast=52, slow=67, signal=49
-2.5%-39.8%-1.87-0.060.6x10338%
Buy and hold0.6%-5.1%0.690.121.1x1100%
1x 2009 2012 2015 2018 2021 2024 SMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -1% -3% -4% -5% 2009 2012 2015 2018 2021 2024 Buy and holdSMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -3.4% (2009-03-27 → 2022-11-16), recovered after 5,407 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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