Trend-Following Backtester · Guide · backtest 한국어
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Amundi PEA Emergent (MSCI Emerging) ESG Transition UCITS ETF FCP Units backtest
10 trend-following strategies were compared on the full daily history of Amundi PEA Emergent (MSCI Emerging) ESG Transition UCITS ETF FCP Units. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -18.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.7%, drawdown -31.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -18.7%, Sharpe 0.75, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 9.3%, MDD -18.7%, exposure 52%).
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=57, slow=236 |
9.3% | -18.7% | 0.75 | 0.50 | 1.9x | 7 | 52% |
| EMA 크로스오버 fast=57, slow=229 |
9.1% | -18.7% | 0.72 | 0.49 | 1.9x | 3 | 55% |
| Donchian 채널 돌파 entryN=6, exitN=76 |
8.5% | -29.4% | 0.56 | 0.29 | 1.8x | 15 | 90% |
| 볼린저 밴드 돌파 n=33, k=2.9 |
2.5% | -7.5% | 0.43 | 0.33 | 1.2x | 10 | 10% |
| ROC 모멘텀 n=152, threshold=0.05 |
3.9% | -20.4% | 0.39 | 0.19 | 1.3x | 41 | 43% |
| Supertrend period=24, mult=5 |
2.6% | -40.2% | 0.26 | 0.07 | 1.2x | 28 | 60% |
| MACD fast=19, slow=52, signal=18 |
0.0% | -37.9% | 0.06 | 0.00 | 1.0x | 76 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=2.2 |
-0.9% | -37.7% | -0.02 | -0.02 | 0.9x | 40 | 40% |
| ADX / DI 방향성 period=26, threshold=25 |
-0.4% | -11.5% | -0.12 | -0.04 | 1.0x | 6 | 2% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.7% | -46.9% | -0.14 | -0.06 | 0.8x | 68 | 57% |
| Buy and hold | 7.7% | -31.9% | 0.47 | 0.24 | 1.7x | 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 57-day average price crosses above the 236-day average
- Sell — Sell (to cash) when the 57-day average falls below the 236-day average