Trend-Following Backtester · Guide · backtest 한국어
etf · FR
Amundi PEA Asie Emergente (MSCI Emerging Asia) Screened UCITS ETF FCP Units backtest
10 trend-following strategies were compared on the full daily history of Amundi PEA Asie Emergente (MSCI Emerging Asia) Screened UCITS ETF FCP Units. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.1%, MDD -19.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -33.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -19.9%, Sharpe 0.77, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 11.1%, MDD -19.9%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=232 |
11.1% | -19.9% | 0.77 | 0.56 | 2.1x | 9 | 53% |
| Donchian 채널 돌파 entryN=117, exitN=72 |
6.4% | -17.8% | 0.52 | 0.36 | 1.6x | 7 | 45% |
| EMA 크로스오버 fast=58, slow=219 |
6.6% | -21.7% | 0.47 | 0.31 | 1.6x | 7 | 54% |
| MACD fast=28, slow=55, signal=22 |
3.9% | -34.7% | 0.35 | 0.11 | 1.3x | 56 | 50% |
| 볼린저 밴드 돌파 n=37, k=3.2 |
1.6% | -7.8% | 0.32 | 0.20 | 1.1x | 6 | 6% |
| Supertrend period=26, mult=3.2 |
3.5% | -37.7% | 0.31 | 0.09 | 1.3x | 60 | 61% |
| ROC 모멘텀 n=123, threshold=0.04 |
2.8% | -31.1% | 0.27 | 0.09 | 1.2x | 53 | 45% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=10, mult=3.1 |
1.9% | -24.5% | 0.23 | 0.08 | 1.1x | 26 | 26% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.9% | -34.6% | 0.13 | 0.02 | 1.1x | 90 | 54% |
| ADX / DI 방향성 period=36, threshold=23 |
0.2% | -9.1% | 0.07 | 0.02 | 1.0x | 2 | 2% |
| Buy and hold | 8.9% | -33.5% | 0.51 | 0.27 | 1.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 232-day average
- Sell — Sell (to cash) when the 54-day average falls below the 232-day average