Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard U.S. Multifactor ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard U.S. Multifactor 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 9.3%, MDD -28.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -42.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -28.5%, Sharpe 0.64, 90% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 14.3%p (CAGR 9.3%, MDD -28.5%, exposure 90%).
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=14, exitN=79 |
9.3% | -28.5% | 0.64 | 0.33 | 2.1x | 21 | 90% |
| SMA 크로스오버 fast=50, slow=87 |
7.8% | -26.5% | 0.64 | 0.29 | 1.9x | 23 | 66% |
| ADX / DI 방향성 period=39, threshold=19 |
2.9% | -9.1% | 0.55 | 0.31 | 1.3x | 9 | 13% |
| Supertrend period=23, mult=5 |
6.0% | -17.7% | 0.52 | 0.34 | 1.6x | 35 | 65% |
| EMA 크로스오버 fast=45, slow=55 |
5.9% | -31.0% | 0.50 | 0.19 | 1.6x | 21 | 72% |
| ROC 모멘텀 n=59, threshold=-0.05 |
5.9% | -37.3% | 0.45 | 0.16 | 1.6x | 59 | 84% |
| Parabolic SAR step=0.005, maxStep=0.32 |
3.9% | -25.8% | 0.36 | 0.15 | 1.4x | 75 | 61% |
| 볼린저 밴드 돌파 n=52, k=2.2 |
2.1% | -17.4% | 0.29 | 0.12 | 1.2x | 23 | 27% |
| MACD fast=26, slow=66, signal=28 |
2.6% | -31.0% | 0.28 | 0.08 | 1.2x | 58 | 52% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=10, mult=2.9 |
1.3% | -17.5% | 0.18 | 0.07 | 1.1x | 43 | 37% |
| Buy and hold | 10.8% | -42.8% | 0.60 | 0.25 | 2.4x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 79 days