Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard U.S. Aggregate Bond Index ETF (CAD-hedged) backtest
10 trend-following strategies were compared on the full daily history of Vanguard U.S. Aggregate Bond Index ETF (CAD-hedged). 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.5%, drawdown -24.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -0.1%, MDD -1.7%, Sharpe -0.11, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.0%, MDD -0.5%, exposure 0%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR -0.0%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=3.5 |
-0.1% | -1.7% | -0.11 | -0.04 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=17, threshold=0.07 |
-0.0% | -0.5% | -0.12 | -0.06 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=38, slow=179 |
-0.8% | -11.9% | -0.17 | -0.06 | 0.9x | 18 | 42% |
| EMA 크로스오버 fast=43, slow=212 |
-0.8% | -12.4% | -0.18 | -0.06 | 0.9x | 16 | 36% |
| ADX / DI 방향성 period=35, threshold=37 |
-0.1% | -1.3% | -0.39 | -0.08 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=51, exitN=77 |
-1.8% | -21.5% | -0.44 | -0.08 | 0.8x | 24 | 54% |
| MACD fast=26, slow=56, signal=41 |
-2.7% | -28.7% | -0.68 | -0.10 | 0.7x | 69 | 47% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=4 |
-1.8% | -20.5% | -0.79 | -0.09 | 0.8x | 36 | 20% |
| Supertrend period=32, mult=4.2 |
-3.9% | -38.5% | -1.02 | -0.10 | 0.6x | 90 | 47% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.9% | -38.5% | -1.06 | -0.10 | 0.6x | 86 | 49% |
| Buy and hold | -1.5% | -24.6% | -0.24 | -0.06 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 43-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 43-day middle average