Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Xtrackers S&P Europe ex UK UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers S&P Europe ex UK UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.3%, MDD -15.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -27.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.8%, MDD -23.8%, Sharpe 0.63, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 3.6%p (CAGR 6.3%, MDD -15.7%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.11 |
9.8% | -23.8% | 0.63 | 0.41 | 2.0x | 5 | 99% |
| EMA 크로스오버 fast=44, slow=97 |
6.3% | -15.7% | 0.51 | 0.40 | 1.6x | 9 | 72% |
| SMA 크로스오버 fast=27, slow=157 |
5.0% | -23.2% | 0.42 | 0.22 | 1.4x | 9 | 67% |
| Donchian 채널 돌파 entryN=49, exitN=54 |
4.0% | -16.1% | 0.36 | 0.25 | 1.3x | 15 | 67% |
| Supertrend period=27, mult=4.7 |
3.0% | -18.1% | 0.29 | 0.17 | 1.2x | 31 | 63% |
| ADX / DI 방향성 period=36, threshold=19 |
0.1% | -3.2% | 0.05 | 0.02 | 1.0x | 4 | 3% |
| 볼린저 밴드 돌파 n=42, k=2.8 |
-0.2% | -14.3% | 0.01 | -0.02 | 1.0x | 10 | 11% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=10, mult=2.2 |
-0.4% | -23.3% | 0.01 | -0.02 | 1.0x | 48 | 27% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.6% | -25.6% | -0.14 | -0.10 | 0.8x | 70 | 56% |
| MACD fast=12, slow=37, signal=15 |
-2.5% | -29.0% | -0.16 | -0.09 | 0.8x | 108 | 49% |
| Buy and hold | 7.2% | -27.4% | 0.47 | 0.26 | 1.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 7-day return is greater than -11%
- Sell — Sell when the 7-day return drops to -11% or below