Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VanEck MSCI International Quality (Hedged) ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck MSCI International Quality (Hedged) ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -31.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.9%, MDD -26.4%, Sharpe 0.70, 75% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=108 |
8.9% | -26.4% | 0.70 | 0.34 | 1.9x | 7 | 75% |
| SMA 크로스오버 fast=7, slow=150 |
7.2% | -21.2% | 0.62 | 0.34 | 1.7x | 19 | 71% |
| ROC 모멘텀 n=131, threshold=-0.04 |
7.8% | -31.0% | 0.60 | 0.25 | 1.7x | 29 | 80% |
| Donchian 채널 돌파 entryN=107, exitN=54 |
5.5% | -16.0% | 0.58 | 0.34 | 1.5x | 13 | 51% |
| 볼린저 밴드 돌파 n=66, k=2.9 |
1.3% | -4.3% | 0.45 | 0.30 | 1.1x | 2 | 6% |
| ADX / DI 방향성 period=20, threshold=34 |
2.0% | -6.9% | 0.43 | 0.29 | 1.2x | 6 | 10% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=3.8 |
1.6% | -13.4% | 0.34 | 0.12 | 1.1x | 16 | 16% |
| Supertrend period=21, mult=5 |
3.1% | -30.3% | 0.31 | 0.10 | 1.2x | 41 | 70% |
| Parabolic SAR step=0.015, maxStep=0.08 |
3.0% | -31.1% | 0.30 | 0.10 | 1.2x | 102 | 63% |
| MACD fast=14, slow=23, signal=22 |
-1.1% | -33.3% | -0.05 | -0.03 | 0.9x | 108 | 51% |
| Buy and hold | 10.8% | -31.3% | 0.63 | 0.34 | 2.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 108-day EMA
- Sell — Sell when the 42-day EMA falls below the 108-day EMA