Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard Growth ETF Portfolio backtest
10 trend-following strategies were compared on the full daily history of Vanguard Growth 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 6.4%, MDD -10.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -25.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -10.1%, Sharpe 0.85, 72% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.8%, MDD -19.1%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 15.2%p (CAGR 6.4%, MDD -10.1%, exposure 72%).
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=166 |
6.4% | -10.1% | 0.85 | 0.63 | 1.7x | 15 | 72% |
| EMA 크로스오버 fast=8, slow=105 |
6.0% | -11.4% | 0.81 | 0.52 | 1.6x | 23 | 74% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.08 |
8.8% | -19.1% | 0.81 | 0.46 | 2.0x | 7 | 99% |
| Donchian 채널 돌파 entryN=24, exitN=81 |
6.2% | -18.7% | 0.73 | 0.33 | 1.7x | 15 | 87% |
| Supertrend period=20, mult=4.3 |
4.0% | -17.2% | 0.59 | 0.24 | 1.4x | 41 | 68% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=1.6 |
1.3% | -16.3% | 0.25 | 0.08 | 1.1x | 70 | 56% |
| ADX / DI 방향성 period=28, threshold=29 |
0.2% | -2.0% | 0.16 | 0.08 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
0.1% | -17.2% | 0.05 | 0.01 | 1.0x | 80 | 57% |
| MACD fast=22, slow=90, signal=18 |
-1.0% | -25.0% | -0.12 | -0.04 | 0.9x | 86 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-1.3% | -18.7% | -0.12 | -0.07 | 0.9x | 122 | 62% |
| Buy and hold | 7.7% | -25.4% | 0.65 | 0.30 | 1.9x | 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 166-day average
- Sell — Sell (to cash) when the 6-day average falls below the 166-day average