Trend-Following Backtester · Guide · backtest 한국어
etf · GB
iShares Core EURO STOXX 50 UCITS ETF (Irl) backtest
10 trend-following strategies were compared on the full daily history of iShares Core EURO STOXX 50 UCITS ETF (Irl). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.8%, drawdown -38.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.8%, MDD -35.2%, Sharpe 0.34, 64% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=31, slow=113 |
3.8% | -35.2% | 0.34 | 0.11 | 1.9x | 47 | 64% |
| Donchian 채널 돌파 entryN=11, exitN=74 |
3.5% | -38.8% | 0.29 | 0.09 | 1.8x | 47 | 85% |
| EMA 크로스오버 fast=41, slow=79 |
2.7% | -34.6% | 0.26 | 0.08 | 1.6x | 39 | 66% |
| 볼린저 밴드 돌파 n=33, k=3.3 |
0.2% | -4.1% | 0.16 | 0.05 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=30, threshold=27 |
0.2% | -3.6% | 0.13 | 0.06 | 1.0x | 4 | 2% |
| ROC 모멘텀 n=145, threshold=-0.03 |
0.3% | -51.2% | 0.09 | 0.00 | 1.0x | 119 | 68% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=20, mult=3.9 |
-0.1% | -24.7% | -0.00 | -0.01 | 1.0x | 34 | 11% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.7% | -61.8% | -0.14 | -0.04 | 0.6x | 161 | 55% |
| MACD fast=20, slow=45, signal=18 |
-2.8% | -59.3% | -0.16 | -0.05 | 0.6x | 194 | 50% |
| Supertrend period=28, mult=3.8 |
-4.3% | -72.3% | -0.25 | -0.06 | 0.5x | 131 | 60% |
| Buy and hold | 4.8% | -38.5% | 0.33 | 0.13 | 2.3x | 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 31-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 31-day average falls below the 113-day average