Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VINVA GLOBAL ALPHA FUND - ACTIVE ETF Units backtest
10 trend-following strategies were compared on the full daily history of VINVA GLOBAL ALPHA FUND - ACTIVE ETF Units. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.4%, MDD -20.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -25.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -22.4%, Sharpe 0.52, 63% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.8%, MDD -30.2%, exposure 94%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 3.5%p (CAGR 5.4%, MDD -20.7%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=33, slow=193 |
5.4% | -22.4% | 0.52 | 0.24 | 2.5x | 28 | 63% |
| EMA 크로스오버 fast=71, slow=100 |
5.4% | -20.7% | 0.51 | 0.26 | 2.5x | 24 | 64% |
| ROC 모멘텀 n=128, threshold=-0.12 |
5.8% | -30.2% | 0.47 | 0.19 | 2.7x | 19 | 94% |
| Donchian 채널 돌파 entryN=113, exitN=58 |
2.9% | -28.3% | 0.34 | 0.10 | 1.7x | 30 | 52% |
| 볼린저 밴드 돌파 n=36, k=3.2 |
0.6% | -9.4% | 0.24 | 0.07 | 1.1x | 8 | 4% |
| ADX / DI 방향성 period=34, threshold=27 |
0.3% | -3.9% | 0.19 | 0.09 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=9, mult=3.3 |
1.0% | -24.5% | 0.16 | 0.04 | 1.2x | 84 | 37% |
| Supertrend period=11, mult=4.6 |
-0.4% | -32.9% | 0.01 | -0.01 | 0.9x | 131 | 57% |
| MACD fast=22, slow=40, signal=31 |
-0.7% | -38.8% | -0.03 | -0.02 | 0.9x | 148 | 51% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-0.9% | -33.6% | -0.03 | -0.03 | 0.9x | 182 | 58% |
| Buy and hold | 6.3% | -25.9% | 0.48 | 0.24 | 2.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 33-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 33-day average falls below the 193-day average