Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VanEck Australian Floating Rate ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Australian Floating Rate ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR -0.0%, drawdown -10.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.3%, MDD -4.6%, Sharpe -0.16, 92% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -0.6%, exposure 3%.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=184, threshold=-0.03 |
-0.3% | -4.6% | -0.16 | -0.07 | 1.0x | 3 | 92% |
| ADX / DI 방향성 period=33, threshold=36 |
-0.1% | -0.6% | -0.17 | -0.11 | 1.0x | 2 | 3% |
| Supertrend period=19, mult=4.8 |
-0.5% | -7.2% | -0.33 | -0.08 | 1.0x | 15 | 65% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=13, mult=2.7 |
-0.1% | -1.2% | -0.37 | -0.11 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=48, slow=150 |
-0.6% | -5.5% | -0.42 | -0.10 | 0.9x | 11 | 56% |
| SMA 크로스오버 fast=45, slow=199 |
-0.6% | -5.5% | -0.43 | -0.10 | 0.9x | 11 | 54% |
| 볼린저 밴드 돌파 n=26, k=3 |
-0.2% | -1.5% | -0.44 | -0.11 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=149, exitN=122 |
-0.4% | -3.8% | -0.45 | -0.11 | 1.0x | 6 | 27% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-2.3% | -19.4% | -1.49 | -0.12 | 0.8x | 41 | 41% |
| MACD fast=24, slow=57, signal=22 |
-8.7% | -56.5% | -3.99 | -0.15 | 0.4x | 143 | 45% |
| Buy and hold | -0.0% | -10.1% | 0.00 | -0.00 | 1.0x | 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 184-day return is greater than -3%
- Sell — Sell when the 184-day return drops to -3% or below