Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard All-Equity ETF Portfolio backtest
10 trend-following strategies were compared on the full daily history of Vanguard All-Equity ETF Portfolio. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.7%, MDD -17.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.4%, drawdown -30.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.8%, MDD -19.4%, Sharpe 1.02, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 11.0%p (CAGR 10.7%, MDD -17.9%, exposure 86%).
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 98% n=21, threshold=-0.09 |
12.8% | -19.4% | 1.02 | 0.66 | 2.5x | 5 | 98% |
| Donchian 채널 돌파 entryN=24, exitN=53 |
10.7% | -17.9% | 1.01 | 0.60 | 2.2x | 15 | 86% |
| EMA 크로스오버 fast=13, slow=137 |
9.4% | -13.7% | 0.95 | 0.69 | 2.0x | 15 | 75% |
| SMA 크로스오버 fast=9, slow=144 |
8.7% | -14.5% | 0.90 | 0.60 | 1.9x | 15 | 74% |
| Supertrend period=27, mult=4.8 |
5.2% | -20.6% | 0.60 | 0.25 | 1.5x | 37 | 68% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.0% | -24.6% | 0.27 | 0.08 | 1.2x | 79 | 64% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=25, mult=1.6 |
1.5% | -15.5% | 0.23 | 0.10 | 1.1x | 73 | 59% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
1.2% | -13.2% | 0.19 | 0.09 | 1.1x | 79 | 59% |
| MACD fast=17, slow=46, signal=11 |
0.4% | -19.5% | 0.09 | 0.02 | 1.0x | 106 | 50% |
| ADX / DI 방향성 period=18, threshold=35 |
0.0% | -2.7% | 0.04 | 0.02 | 1.0x | 6 | 2% |
| Buy and hold | 12.4% | -30.5% | 0.82 | 0.41 | 2.4x | 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 21-day return is greater than -9%
- Sell — Sell when the 21-day return drops to -9% or below