Trend-Following Backtester · Guide · backtest 한국어
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Amundi EURO STOXX 50 II UCITS ETF Act -Acc- backtest
10 trend-following strategies were compared on the full daily history of Amundi EURO STOXX 50 II UCITS ETF Act -Acc-. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.1%, MDD -26.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.7%, drawdown -59.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -7.0%, Sharpe 0.27, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.5%, MDD -47.5%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 52.0%p (CAGR 2.1%, MDD -26.9%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=2.8 |
0.6% | -7.0% | 0.27 | 0.09 | 1.1x | 12 | 4% |
| ROC 모멘텀 Hold-like · Exposure 97% n=31, threshold=-0.14 |
3.5% | -47.5% | 0.27 | 0.07 | 1.9x | 37 | 97% |
| SMA 크로스오버 fast=59, slow=141 |
2.5% | -43.6% | 0.25 | 0.06 | 1.6x | 33 | 61% |
| Donchian 채널 돌파 entryN=85, exitN=57 |
2.1% | -26.9% | 0.24 | 0.08 | 1.5x | 31 | 48% |
| ADX / DI 방향성 period=24, threshold=34 |
0.2% | -3.2% | 0.22 | 0.07 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=52, slow=126 |
1.1% | -47.0% | 0.15 | 0.02 | 1.2x | 35 | 65% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=3.9 |
-0.7% | -21.6% | -0.04 | -0.03 | 0.9x | 57 | 29% |
| MACD fast=22, slow=23, signal=25 |
-3.0% | -57.6% | -0.16 | -0.05 | 0.6x | 212 | 51% |
| Supertrend period=26, mult=2.7 |
-3.9% | -61.7% | -0.20 | -0.06 | 0.5x | 205 | 61% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.2% | -65.6% | -0.25 | -0.06 | 0.4x | 190 | 57% |
| Buy and hold | 2.7% | -59.0% | 0.23 | 0.05 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 26-day middle average