Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Vanguard FTSE Developed Europe UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Developed Europe 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 5.5%, drawdown -35.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.3%, MDD -25.7%, Sharpe 0.57, 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 |
7.3% | -25.7% | 0.57 | 0.29 | 1.9x | 9 | 98% |
| SMA 크로스오버 fast=9, slow=216 |
2.8% | -19.0% | 0.32 | 0.15 | 1.3x | 17 | 64% |
| EMA 크로스오버 fast=19, slow=212 |
2.7% | -17.2% | 0.30 | 0.16 | 1.3x | 13 | 65% |
| Donchian 채널 돌파 entryN=109, exitN=52 |
2.0% | -12.7% | 0.28 | 0.15 | 1.2x | 15 | 44% |
| 볼린저 밴드 돌파 n=54, k=2.2 |
0.9% | -10.7% | 0.17 | 0.08 | 1.1x | 19 | 26% |
| ADX / DI 방향성 period=31, threshold=24 |
0.3% | -3.9% | 0.17 | 0.08 | 1.0x | 2 | 3% |
| Supertrend period=27, mult=4.4 |
1.2% | -25.7% | 0.17 | 0.05 | 1.1x | 51 | 62% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.3% | -24.1% | -0.08 | -0.05 | 0.9x | 85 | 58% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=1.7 |
-2.6% | -28.5% | -0.26 | -0.09 | 0.8x | 69 | 52% |
| MACD fast=17, slow=49, signal=28 |
-3.5% | -31.0% | -0.34 | -0.11 | 0.7x | 100 | 51% |
| Buy and hold | 5.5% | -35.6% | 0.42 | 0.16 | 1.6x | 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