Trend-Following Backtester · Guide · backtest 한국어
etf · NL
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 10.2%, MDD -22.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -33.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -22.2%, Sharpe 0.79, 92% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 11.5%p (CAGR 10.2%, MDD -22.2%, exposure 92%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=96 |
10.2% | -22.2% | 0.79 | 0.46 | 4.0x | 23 | 92% |
| Supertrend period=28, mult=5 |
6.3% | -14.9% | 0.62 | 0.42 | 2.4x | 57 | 71% |
| EMA 크로스오버 fast=21, slow=186 |
7.3% | -23.5% | 0.61 | 0.31 | 2.7x | 23 | 77% |
| SMA 크로스오버 fast=23, slow=70 |
6.1% | -28.6% | 0.56 | 0.21 | 2.3x | 45 | 66% |
| ROC 모멘텀 n=92, threshold=-0.03 |
5.4% | -31.0% | 0.48 | 0.17 | 2.1x | 85 | 84% |
| 볼린저 밴드 돌파 n=75, k=1 |
4.2% | -23.4% | 0.46 | 0.18 | 1.8x | 69 | 58% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=3.2 |
2.3% | -18.0% | 0.33 | 0.13 | 1.4x | 62 | 42% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.4% | -21.8% | 0.18 | 0.06 | 1.2x | 138 | 65% |
| MACD fast=15, slow=52, signal=14 |
1.3% | -19.6% | 0.18 | 0.06 | 1.2x | 180 | 48% |
| ADX / DI 방향성 period=26, threshold=34 |
0.0% | -4.6% | 0.01 | 0.00 | 1.0x | 4 | 1% |
| Buy and hold | 12.3% | -33.6% | 0.81 | 0.36 | 5.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 96 days