Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard FTSE Canadian High Dividend Yield Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Canadian High Dividend Yield Index ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.7%, MDD -17.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -39.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -7.9%, Sharpe 0.93, 21% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -17.5%, exposure 61%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 31.6%p (CAGR 6.7%, MDD -17.5%, exposure 61%).
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=58, k=2.5 |
4.1% | -7.9% | 0.93 | 0.52 | 1.7x | 16 | 21% |
| Donchian 채널 돌파 entryN=66, exitN=71 |
6.7% | -17.5% | 0.91 | 0.38 | 2.4x | 21 | 61% |
| SMA 크로스오버 fast=5, slow=124 |
6.1% | -26.1% | 0.82 | 0.23 | 2.3x | 43 | 64% |
| ADX / DI 방향성 period=29, threshold=27 |
2.3% | -5.4% | 0.76 | 0.42 | 1.4x | 14 | 13% |
| EMA 크로스오버 fast=21, slow=81 |
5.2% | -27.5% | 0.70 | 0.19 | 2.0x | 41 | 65% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=16, mult=1.5 |
4.5% | -15.2% | 0.66 | 0.29 | 1.8x | 94 | 55% |
| ROC 모멘텀 n=160, threshold=0.01 |
4.7% | -31.1% | 0.62 | 0.15 | 1.9x | 79 | 61% |
| Supertrend period=17, mult=4.5 |
4.5% | -29.4% | 0.56 | 0.15 | 1.8x | 67 | 64% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.3% | -30.2% | 0.29 | 0.08 | 1.4x | 222 | 62% |
| MACD fast=18, slow=41, signal=16 |
-0.1% | -35.2% | 0.03 | -0.00 | 1.0x | 164 | 49% |
| Buy and hold | 8.5% | -39.5% | 0.62 | 0.22 | 3.1x | 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 58-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 58-day middle average