Trend-Following Backtester · Guide · backtest 한국어
etf · CH
Vanguard S&P 500 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P 500 UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.0%, drawdown -33.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.5%, MDD -23.9%, Sharpe 0.76, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=10, threshold=-0.09 |
11.5% | -23.9% | 0.76 | 0.48 | 4.7x | 13 | 98% |
| Donchian 채널 돌파 entryN=17, exitN=69 |
7.3% | -30.5% | 0.57 | 0.24 | 2.7x | 33 | 89% |
| EMA 크로스오버 fast=39, slow=127 |
7.1% | -24.9% | 0.57 | 0.29 | 2.7x | 19 | 77% |
| SMA 크로스오버 fast=17, slow=206 |
6.8% | -25.3% | 0.55 | 0.27 | 2.6x | 25 | 77% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=16, mult=4 |
0.6% | -3.3% | 0.35 | 0.19 | 1.1x | 4 | 2% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
1.4% | -21.4% | 0.29 | 0.07 | 1.2x | 25 | 17% |
| Supertrend period=30, mult=4.1 |
2.5% | -26.3% | 0.27 | 0.10 | 1.4x | 105 | 69% |
| ADX / DI 방향성 period=23, threshold=36 |
0.4% | -8.6% | 0.20 | 0.05 | 1.1x | 4 | 3% |
| Parabolic SAR step=0.01, maxStep=0.04 |
1.1% | -31.1% | 0.15 | 0.03 | 1.2x | 127 | 70% |
| MACD fast=13, slow=38, signal=10 |
-3.3% | -52.1% | -0.25 | -0.06 | 0.6x | 240 | 50% |
| Buy and hold | 11.0% | -33.8% | 0.71 | 0.33 | 4.5x | 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 10-day return is greater than -9%
- Sell — Sell when the 10-day return drops to -9% or below