Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Vanguard FTSE Developed Asia Pacific ex Japan UCITS ETF Accum Shs USD backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Developed Asia Pacific ex Japan UCITS ETF Accum Shs USD. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.2%, MDD -18.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -37.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.2%, MDD -18.6%, Sharpe 0.84, 26% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 19.0%p (CAGR 9.2%, MDD -18.6%, exposure 26%).
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 n=126, threshold=0.11 |
9.2% | -18.6% | 0.84 | 0.50 | 1.8x | 23 | 26% |
| SMA 크로스오버 fast=31, slow=188 |
8.4% | -21.8% | 0.66 | 0.39 | 1.7x | 15 | 58% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
3.5% | -9.6% | 0.65 | 0.36 | 1.3x | 4 | 9% |
| Donchian 채널 돌파 entryN=84, exitN=51 |
6.3% | -26.5% | 0.54 | 0.24 | 1.5x | 12 | 46% |
| Supertrend period=29, mult=4 |
6.0% | -37.7% | 0.48 | 0.16 | 1.5x | 50 | 63% |
| ADX / DI 방향성 period=35, threshold=14 |
4.5% | -14.8% | 0.47 | 0.30 | 1.4x | 30 | 23% |
| EMA 크로스오버 fast=54, slow=207 |
5.8% | -34.6% | 0.47 | 0.17 | 1.5x | 13 | 60% |
| MACD fast=15, slow=23, signal=16 |
2.2% | -23.5% | 0.24 | 0.10 | 1.2x | 98 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=2.2 |
1.6% | -32.4% | 0.19 | 0.05 | 1.1x | 46 | 45% |
| Parabolic SAR step=0.03, maxStep=0.32 |
-3.1% | -50.0% | -0.17 | -0.06 | 0.8x | 176 | 55% |
| Buy and hold | 9.7% | -37.6% | 0.55 | 0.26 | 1.9x | 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 126-day return is greater than 11%
- Sell — Sell when the 126-day return drops to 11% or below