Trend-Following Backtester · Guide · backtest 한국어
etf · US
Xtrackers MSCI EAFE High Dividend Yield Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers MSCI EAFE High Dividend Yield Equity ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.6%, MDD -19.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.9%, drawdown -38.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.4%, MDD -31.0%, Sharpe 0.32, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 7.2%p (CAGR 2.6%, MDD -19.8%, exposure 73%).
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 n=103, threshold=-0.11 |
3.4% | -31.0% | 0.32 | 0.11 | 1.4x | 21 | 89% |
| Donchian 채널 돌파 entryN=48, exitN=78 |
2.6% | -19.8% | 0.28 | 0.13 | 1.3x | 19 | 73% |
| SMA 크로스오버 fast=32, slow=147 |
0.9% | -28.3% | 0.13 | 0.03 | 1.1x | 19 | 64% |
| EMA 크로스오버 fast=18, slow=211 |
0.6% | -34.2% | 0.11 | 0.02 | 1.1x | 23 | 61% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
-0.0% | -2.9% | -0.04 | -0.02 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=28, mult=2.8 |
-2.1% | -27.8% | -0.26 | -0.07 | 0.8x | 63 | 33% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.6% | -45.1% | -0.31 | -0.08 | 0.7x | 133 | 55% |
| ADX / DI 방향성 period=16, threshold=32 |
-0.9% | -15.4% | -0.32 | -0.06 | 0.9x | 18 | 5% |
| MACD fast=9, slow=72, signal=13 |
-3.5% | -41.7% | -0.33 | -0.08 | 0.7x | 164 | 49% |
| Supertrend period=27, mult=2.8 |
-6.3% | -61.7% | -0.51 | -0.10 | 0.5x | 149 | 61% |
| Buy and hold | 2.9% | -38.2% | 0.26 | 0.08 | 1.4x | 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 103-day return is greater than -11%
- Sell — Sell when the 103-day return drops to -11% or below