Trend-Following Backtester · Guide · backtest 한국어
etf · NL
VanEck AEX UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck AEX UCITS ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -35.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.1%, MDD -30.5%, Sharpe 0.54, 100% 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 100% n=4, threshold=-0.09 |
8.1% | -30.5% | 0.54 | 0.27 | 3.6x | 13 | 100% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
2.0% | -9.7% | 0.47 | 0.20 | 1.4x | 14 | 13% |
| Donchian 채널 돌파 entryN=59, exitN=99 |
3.9% | -27.2% | 0.37 | 0.14 | 1.9x | 23 | 76% |
| SMA 크로스오버 fast=11, slow=199 |
3.5% | -23.7% | 0.35 | 0.15 | 1.8x | 37 | 71% |
| ADX / DI 방향성 period=29, threshold=24 |
0.5% | -6.0% | 0.27 | 0.08 | 1.1x | 6 | 4% |
| EMA 크로스오버 fast=31, slow=190 |
2.3% | -36.0% | 0.25 | 0.06 | 1.5x | 31 | 74% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.5 |
0.3% | -3.7% | 0.15 | 0.07 | 1.0x | 6 | 2% |
| Supertrend period=16, mult=3.1 |
-0.5% | -35.0% | 0.01 | -0.01 | 0.9x | 149 | 61% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.4% | -46.7% | -0.07 | -0.03 | 0.8x | 167 | 60% |
| MACD fast=15, slow=59, signal=16 |
-3.3% | -52.1% | -0.27 | -0.06 | 0.6x | 208 | 50% |
| Buy and hold | 7.8% | -35.8% | 0.52 | 0.22 | 3.5x | 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 4-day return is greater than -9%
- Sell — Sell when the 4-day return drops to -9% or below