Trend-Following Backtester · Guide · backtest 한국어
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Amundi MSCI World Swap II UCITS ETF Act -Dist- backtest
10 trend-following strategies were compared on the full daily history of Amundi MSCI World Swap II UCITS ETF Act -Dist-. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.0%, MDD -25.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -49.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -33.5%, Sharpe 0.58, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 16.0%p (CAGR 6.0%, MDD -25.7%, exposure 75%).
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=134 |
6.5% | -33.5% | 0.58 | 0.19 | 3.2x | 27 | 71% |
| EMA 크로스오버 fast=30, slow=165 |
6.0% | -25.7% | 0.55 | 0.24 | 3.0x | 25 | 75% |
| Donchian 채널 돌파 entryN=98, exitN=56 |
4.8% | -15.9% | 0.53 | 0.30 | 2.4x | 33 | 57% |
| ROC 모멘텀 n=117, threshold=-0.03 |
4.2% | -27.9% | 0.41 | 0.15 | 2.2x | 91 | 77% |
| 볼린저 밴드 돌파 n=88, k=3 |
1.5% | -9.2% | 0.40 | 0.17 | 1.3x | 8 | 11% |
| Supertrend period=21, mult=5 |
2.3% | -30.8% | 0.26 | 0.08 | 1.5x | 93 | 64% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=3.3 |
0.9% | -25.2% | 0.15 | 0.04 | 1.2x | 83 | 44% |
| ADX / DI 방향성 period=20, threshold=37 |
-0.0% | -4.6% | -0.01 | -0.00 | 1.0x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.2% | -38.9% | -0.07 | -0.03 | 0.8x | 180 | 59% |
| MACD fast=13, slow=23, signal=19 |
-2.1% | -45.3% | -0.14 | -0.05 | 0.7x | 280 | 52% |
| Buy and hold | 7.5% | -49.5% | 0.50 | 0.15 | 3.8x | 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 134-day average
- Sell — Sell (to cash) when the 54-day average falls below the 134-day average