Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard Diversified High Growth Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Diversified High Growth Index ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.5%, MDD -19.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -28.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -19.7%, Sharpe 0.51, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 8.6%p (CAGR 4.5%, MDD -19.7%, exposure 85%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=75 |
4.5% | -19.7% | 0.51 | 0.23 | 1.5x | 17 | 85% |
| SMA 크로스오버 fast=7, slow=133 |
3.6% | -10.7% | 0.48 | 0.33 | 1.4x | 19 | 71% |
| EMA 크로스오버 fast=25, slow=91 |
3.4% | -17.6% | 0.44 | 0.20 | 1.3x | 13 | 73% |
| ROC 모멘텀 n=95, threshold=-0.02 |
2.5% | -17.1% | 0.33 | 0.15 | 1.2x | 31 | 76% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=29, mult=3.7 |
0.4% | -2.9% | 0.27 | 0.13 | 1.0x | 4 | 4% |
| Supertrend period=23, mult=4.8 |
1.5% | -17.0% | 0.22 | 0.09 | 1.1x | 39 | 67% |
| ADX / DI 방향성 period=13, threshold=38 |
-0.1% | -8.3% | -0.04 | -0.02 | 1.0x | 10 | 7% |
| 볼린저 밴드 돌파 n=54, k=2.9 |
-0.6% | -4.9% | -0.44 | -0.12 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-5.6% | -40.7% | -0.69 | -0.14 | 0.6x | 175 | 60% |
| MACD fast=18, slow=46, signal=13 |
-6.5% | -45.0% | -0.91 | -0.15 | 0.6x | 136 | 51% |
| Buy and hold | 4.9% | -28.3% | 0.46 | 0.17 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 75 days