Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard ESG U.S. Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard ESG U.S. Corporate Bond ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.3%, MDD -1.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.3%, drawdown -24.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.3%, MDD -1.6%, Sharpe 0.28, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 0.3%, MDD -1.6%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=2.8 |
0.3% | -1.6% | 0.28 | 0.21 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=26, mult=2.8 |
0.3% | -2.5% | 0.19 | 0.12 | 1.0x | 4 | 3% |
| Donchian 채널 돌파 entryN=57, exitN=37 |
-0.6% | -7.3% | -0.20 | -0.08 | 1.0x | 10 | 23% |
| Supertrend period=25, mult=4.6 |
-1.3% | -12.0% | -0.30 | -0.11 | 0.9x | 20 | 41% |
| MACD fast=48, slow=65, signal=89 |
-1.5% | -11.0% | -0.34 | -0.13 | 0.9x | 16 | 39% |
| SMA 크로스오버 fast=54, slow=187 |
-1.5% | -8.6% | -0.41 | -0.17 | 0.9x | 8 | 41% |
| EMA 크로스오버 fast=53, slow=195 |
-1.3% | -7.6% | -0.43 | -0.17 | 0.9x | 6 | 33% |
| ROC 모멘텀 n=52, threshold=0.05 |
-0.7% | -4.6% | -0.50 | -0.16 | 1.0x | 14 | 4% |
| ADX / DI 방향성 period=9, threshold=39 |
-1.2% | -7.3% | -0.57 | -0.16 | 0.9x | 14 | 6% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-5.4% | -28.3% | -1.22 | -0.19 | 0.7x | 52 | 46% |
| Buy and hold | -3.3% | -24.4% | -0.48 | -0.14 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 12-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 12-day middle average