Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VanEck MSCI International Quality ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck MSCI International Quality 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 12.7%, drawdown -24.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.8%, MDD -22.4%, Sharpe 0.79, 94% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=119, threshold=-0.13 |
10.8% | -22.4% | 0.79 | 0.48 | 3.3x | 9 | 94% |
| EMA 크로스오버 fast=8, slow=141 |
7.9% | -20.6% | 0.71 | 0.38 | 2.4x | 29 | 75% |
| SMA 크로스오버 fast=11, slow=183 |
7.8% | -19.1% | 0.70 | 0.41 | 2.4x | 21 | 75% |
| Supertrend period=14, mult=3.4 |
7.0% | -21.2% | 0.68 | 0.33 | 2.2x | 80 | 69% |
| Donchian 채널 돌파 entryN=17, exitN=46 |
7.0% | -19.7% | 0.63 | 0.35 | 2.2x | 38 | 77% |
| Parabolic SAR step=0.005, maxStep=0.08 |
5.3% | -21.5% | 0.54 | 0.25 | 1.8x | 92 | 64% |
| 볼린저 밴드 돌파 n=52, k=1.7 |
2.8% | -21.6% | 0.35 | 0.13 | 1.4x | 62 | 49% |
| ADX / DI 방향성 period=27, threshold=22 |
1.5% | -14.7% | 0.28 | 0.10 | 1.2x | 30 | 24% |
| MACD fast=19, slow=53, signal=24 |
1.5% | -23.3% | 0.21 | 0.07 | 1.2x | 110 | 53% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=3.5 |
1.3% | -26.2% | 0.20 | 0.05 | 1.2x | 52 | 42% |
| Buy and hold | 12.7% | -24.5% | 0.88 | 0.52 | 4.1x | 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 119-day return is greater than -13%
- Sell — Sell when the 119-day return drops to -13% or below