Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard Morningstar U.S. Total Market Index ETF Trust Units backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar U.S. Total Market Index ETF Trust Units. 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 13.2%, MDD -20.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -28.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -20.0%, Sharpe 1.04, 92% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.6%, MDD -24.9%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 8.2%p (CAGR 13.2%, MDD -20.0%, exposure 92%).
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=16, exitN=79 |
13.2% | -20.0% | 1.04 | 0.66 | 5.1x | 19 | 92% |
| ROC 모멘텀 Hold-like · Exposure 99% n=15, threshold=-0.1 |
13.6% | -24.9% | 0.97 | 0.54 | 5.3x | 13 | 99% |
| EMA 크로스오버 fast=18, slow=70 |
10.1% | -18.2% | 0.91 | 0.55 | 3.5x | 37 | 78% |
| SMA 크로스오버 fast=11, slow=118 |
9.2% | -17.4% | 0.85 | 0.53 | 3.2x | 33 | 75% |
| Supertrend period=22, mult=4.5 |
7.8% | -19.2% | 0.79 | 0.41 | 2.7x | 57 | 68% |
| Parabolic SAR step=0.005, maxStep=0.32 |
4.1% | -21.7% | 0.45 | 0.19 | 1.7x | 123 | 65% |
| 볼린저 밴드 돌파 n=49, k=1.1 |
3.7% | -22.5% | 0.44 | 0.16 | 1.6x | 96 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=1.2 |
3.9% | -23.0% | 0.43 | 0.17 | 1.6x | 107 | 67% |
| ADX / DI 방향성 period=26, threshold=33 |
0.2% | -2.1% | 0.23 | 0.11 | 1.0x | 2 | 1% |
| MACD fast=18, slow=58, signal=15 |
0.2% | -26.2% | 0.07 | 0.01 | 1.0x | 164 | 52% |
| Buy and hold | 14.4% | -28.2% | 0.92 | 0.51 | 5.8x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 79 days