Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard MSCI Index International Shares (Hedged) ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard MSCI Index International Shares (Hedged) ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -36.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.4%, MDD -26.2%, Sharpe 0.60, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 99% n=18, threshold=-0.11 |
8.4% | -26.2% | 0.60 | 0.32 | 2.6x | 9 | 99% |
| SMA 크로스오버 fast=17, slow=217 |
6.1% | -24.3% | 0.56 | 0.25 | 2.0x | 11 | 74% |
| EMA 크로스오버 fast=28, slow=152 |
5.2% | -21.1% | 0.48 | 0.25 | 1.8x | 15 | 76% |
| Donchian 채널 돌파 entryN=34, exitN=57 |
4.5% | -21.7% | 0.43 | 0.21 | 1.7x | 29 | 78% |
| ADX / DI 방향성 period=21, threshold=32 |
0.8% | -7.2% | 0.31 | 0.11 | 1.1x | 10 | 7% |
| Supertrend period=23, mult=4.6 |
0.4% | -34.3% | 0.10 | 0.01 | 1.1x | 73 | 69% |
| 볼린저 밴드 돌파 n=36, k=2.8 |
0.1% | -4.5% | 0.08 | 0.02 | 1.0x | 5 | 3% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.1% | -27.4% | 0.04 | -0.00 | 1.0x | 107 | 62% |
| MACD fast=21, slow=69, signal=13 |
-1.9% | -32.6% | -0.15 | -0.06 | 0.8x | 139 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=2 |
-1.9% | -31.1% | -0.17 | -0.06 | 0.8x | 89 | 59% |
| Buy and hold | 8.6% | -36.1% | 0.57 | 0.24 | 2.6x | 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 18-day return is greater than -11%
- Sell — Sell when the 18-day return drops to -11% or below