Trend-Following Backtester · Guide · backtest 한국어

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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. 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 11.2%, MDD -22.8%).

Data 2017-10-26 ~ 2026-07-31daily bars 2,222 (8.8 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 13.0%, drawdown -33.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -22.8%, Sharpe 0.87, 84% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 10.9%p (CAGR 11.2%, MDD -22.8%, exposure 84%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=17, exitN=42
11.2%-22.8%0.870.492.5x2784%
MACD
fast=26, slow=87, signal=32
7.4%-15.3%0.770.491.9x4855%
EMA 크로스오버
fast=19, slow=191
8.2%-24.0%0.690.342.0x1174%
SMA 크로스오버
fast=13, slow=47
7.5%-15.6%0.680.481.9x4570%
Supertrend
period=29, mult=3.4
6.6%-18.8%0.610.351.7x6669%
ROC 모멘텀
n=118, threshold=0.01
6.0%-25.0%0.570.241.7x3369%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=21, mult=3.4
3.3%-17.4%0.430.191.3x3645%
볼린저 밴드 돌파
n=58, k=2.2
2.7%-18.5%0.360.151.3x3040%
ADX / DI 방향성
period=27, threshold=34
0.3%-1.8%0.240.171.0x22%
Parabolic SAR
step=0.005, maxStep=0.18
1.4%-25.9%0.180.051.1x9065%
Buy and hold13.0%-33.6%0.810.392.9x1100%
1x 2018 2020 2022 2024 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -8% -17% -25% -34% 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -22.8% (2022-01-04 → 2023-03-13), recovered after 863 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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