Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard Balanced ETF Portfolio backtest
10 trend-following strategies were compared on the full daily history of Vanguard Balanced ETF Portfolio. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.4%, MDD -8.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.3%, drawdown -21.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -8.0%, Sharpe 0.74, 71% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.4%, MDD -18.2%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 13.2%p (CAGR 4.4%, MDD -8.0%, exposure 71%).
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=6, slow=161 |
4.4% | -8.0% | 0.74 | 0.55 | 1.4x | 17 | 71% |
| EMA 크로스오버 fast=44, slow=54 |
4.4% | -9.2% | 0.71 | 0.48 | 1.4x | 13 | 75% |
| Donchian 채널 돌파 entryN=4, exitN=93 |
5.0% | -22.7% | 0.66 | 0.22 | 1.5x | 23 | 94% |
| ROC 모멘텀 Hold-like · Exposure 99% n=12, threshold=-0.08 |
5.4% | -18.2% | 0.65 | 0.30 | 1.6x | 5 | 99% |
| Supertrend period=17, mult=4.4 |
1.3% | -20.3% | 0.25 | 0.06 | 1.1x | 43 | 67% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
0.1% | -1.5% | 0.12 | 0.04 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=29, threshold=31 |
0.1% | -1.6% | 0.12 | 0.07 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=10, mult=3 |
-0.1% | -14.5% | -0.00 | -0.01 | 1.0x | 42 | 45% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.9% | -22.8% | -0.13 | -0.04 | 0.9x | 78 | 59% |
| MACD fast=20, slow=58, signal=24 |
-1.8% | -27.3% | -0.30 | -0.07 | 0.9x | 82 | 50% |
| Buy and hold | 5.3% | -21.2% | 0.56 | 0.25 | 1.5x | 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 6-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 6-day average falls below the 161-day average