Trend-Following Backtester · Guide · backtest 한국어
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Amundi NASDAQ-100 Daily (2X) Leveraged UCITS ETF -Acc- backtest
10 trend-following strategies were compared on the full daily history of Amundi NASDAQ-100 Daily (2X) Leveraged UCITS ETF -Acc-. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -14.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.2%, drawdown -99.6%).
Sharpe leader (same as main): Supertrend — CAGR 20.9%, MDD -42.7%, Sharpe 0.89, 61% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 56.9%p (CAGR 1.2%, MDD -14.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=5 |
20.9% | -42.7% | 0.89 | 0.49 | 28.3x | 72 | 61% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
1.3% | -99.6% | 0.74 | 0.01 | 1.3x | 17 | 100% |
| MACD fast=17, slow=36, signal=14 |
15.5% | -42.4% | 0.71 | 0.37 | 12.7x | 251 | 56% |
| Donchian 채널 돌파 entryN=16, exitN=72 |
-4.1% | -99.6% | 0.63 | -0.04 | 0.5x | 35 | 89% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=18, mult=3.1 |
10.0% | -39.9% | 0.59 | 0.25 | 5.4x | 84 | 44% |
| 볼린저 밴드 돌파 n=52, k=1.8 |
10.4% | -38.3% | 0.57 | 0.27 | 5.7x | 88 | 49% |
| EMA 크로스오버 fast=42, slow=95 |
-6.9% | -99.5% | 0.57 | -0.07 | 0.3x | 21 | 73% |
| SMA 크로스오버 fast=35, slow=175 |
-9.1% | -99.6% | 0.51 | -0.09 | 0.2x | 23 | 73% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-16.0% | -99.6% | 0.29 | -0.16 | 0.0x | 265 | 63% |
| ADX / DI 방향성 period=15, threshold=39 |
1.2% | -14.9% | 0.29 | 0.08 | 1.2x | 22 | 3% |
| Buy and hold | 1.2% | -99.6% | 0.73 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)