Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard S&P 500 Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P 500 Index ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.3%, MDD -19.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -27.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -19.9%, Sharpe 1.10, 88% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.6%, MDD -25.0%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 7.8%p (CAGR 13.3%, MDD -19.9%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=53 |
13.3% | -19.9% | 1.10 | 0.67 | 5.6x | 27 | 88% |
| ROC 모멘텀 Hold-like · Exposure 98% n=22, threshold=-0.09 |
14.6% | -25.0% | 1.07 | 0.58 | 6.6x | 13 | 98% |
| EMA 크로스오버 fast=35, slow=45 |
11.5% | -17.7% | 1.03 | 0.65 | 4.5x | 27 | 80% |
| SMA 크로스오버 fast=10, slow=103 |
10.5% | -19.9% | 0.97 | 0.53 | 4.0x | 35 | 77% |
| Supertrend period=23, mult=4.8 |
7.7% | -16.1% | 0.79 | 0.48 | 2.8x | 55 | 70% |
| 볼린저 밴드 돌파 n=98, k=0.4 |
7.1% | -21.0% | 0.73 | 0.34 | 2.6x | 73 | 73% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=1.5 |
4.7% | -22.2% | 0.54 | 0.21 | 1.9x | 105 | 67% |
| Parabolic SAR step=0.005, maxStep=0.08 |
4.5% | -17.0% | 0.51 | 0.26 | 1.8x | 131 | 64% |
| ADX / DI 방향성 period=25, threshold=17 |
1.0% | -21.8% | 0.19 | 0.05 | 1.2x | 86 | 31% |
| MACD fast=19, slow=66, signal=14 |
0.8% | -18.9% | 0.14 | 0.04 | 1.1x | 166 | 52% |
| Buy and hold | 15.8% | -27.7% | 1.02 | 0.57 | 7.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 53 days