Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard Global Value Equity Active ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Global Value Equity Active ETF. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.5%, MDD -16.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.8%, drawdown -38.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.9%, MDD -4.5%, Sharpe 0.74, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.5%, MDD -16.0%, exposure 93%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 34.3%p (CAGR 8.5%, MDD -16.0%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=34 |
2.9% | -4.5% | 0.74 | 0.63 | 1.3x | 4 | 9% |
| ROC 모멘텀 n=46, threshold=-0.09 |
8.5% | -16.0% | 0.58 | 0.53 | 2.0x | 11 | 93% |
| Supertrend period=36, mult=4.7 |
6.1% | -18.8% | 0.49 | 0.33 | 1.6x | 36 | 66% |
| Donchian 채널 돌파 entryN=50, exitN=51 |
4.8% | -16.6% | 0.42 | 0.29 | 1.5x | 17 | 63% |
| SMA 크로스오버 fast=41, slow=101 |
4.2% | -19.0% | 0.40 | 0.22 | 1.4x | 23 | 63% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
1.1% | -8.3% | 0.32 | 0.14 | 1.1x | 2 | 5% |
| EMA 크로스오버 fast=33, slow=248 |
2.5% | -19.6% | 0.25 | 0.13 | 1.2x | 11 | 68% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.3% | -27.1% | 0.05 | -0.01 | 1.0x | 60 | 55% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=2 |
-2.2% | -26.1% | -0.15 | -0.09 | 0.8x | 65 | 43% |
| MACD fast=11, slow=56, signal=13 |
-5.2% | -41.3% | -0.34 | -0.13 | 0.6x | 131 | 51% |
| Buy and hold | 5.8% | -38.8% | 0.40 | 0.15 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)