Trend-Following Backtester · Guide · backtest 한국어
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BNP Paribas Easy S&P 500 UCITS ETF EUR backtest
10 trend-following strategies were compared on the full daily history of BNP Paribas Easy S&P 500 UCITS ETF EUR. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -25.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -33.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.9%, MDD -23.4%, Sharpe 0.99, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 10.2%p (CAGR 12.4%, MDD -25.1%, exposure 85%).
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=8, threshold=-0.06 |
14.9% | -23.4% | 0.99 | 0.64 | 6.0x | 39 | 98% |
| Donchian 채널 돌파 entryN=21, exitN=57 |
12.4% | -25.1% | 0.95 | 0.49 | 4.5x | 27 | 85% |
| EMA 크로스오버 fast=38, slow=42 |
9.8% | -24.9% | 0.82 | 0.39 | 3.3x | 35 | 77% |
| SMA 크로스오버 fast=8, slow=146 |
8.6% | -27.0% | 0.73 | 0.32 | 2.9x | 39 | 76% |
| Parabolic SAR step=0.005, maxStep=0.02 |
7.4% | -22.1% | 0.66 | 0.34 | 2.5x | 59 | 71% |
| Supertrend period=35, mult=4.9 |
7.4% | -22.5% | 0.65 | 0.33 | 2.5x | 65 | 74% |
| 볼린저 밴드 돌파 n=65, k=1 |
5.5% | -19.5% | 0.57 | 0.28 | 2.0x | 74 | 61% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=20, mult=2.5 |
5.2% | -26.4% | 0.55 | 0.20 | 1.9x | 65 | 61% |
| ADX / DI 방향성 period=26, threshold=34 |
0.4% | -1.9% | 0.33 | 0.23 | 1.1x | 2 | 1% |
| MACD fast=18, slow=47, signal=13 |
1.3% | -25.6% | 0.18 | 0.05 | 1.2x | 176 | 51% |
| Buy and hold | 15.2% | -33.6% | 0.93 | 0.45 | 6.2x | 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 8-day return is greater than -6%
- Sell — Sell when the 8-day return drops to -6% or below