Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Vietnam ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Vietnam ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.1%, MDD -21.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.5%, drawdown -69.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.1%, MDD -21.6%, Sharpe 0.28, 8% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.2%, MDD -38.2%, exposure 21%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 48.2%p (CAGR 2.1%, MDD -21.6%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=17, threshold=29 |
2.1% | -21.6% | 0.28 | 0.10 | 1.4x | 44 | 8% |
| 볼린저 밴드 돌파 n=51, k=2.1 |
2.2% | -38.2% | 0.25 | 0.06 | 1.5x | 44 | 21% |
| SMA 크로스오버 fast=39, slow=197 |
1.4% | -35.8% | 0.17 | 0.04 | 1.3x | 22 | 42% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=14, mult=3.5 |
1.2% | -32.3% | 0.16 | 0.04 | 1.2x | 44 | 19% |
| Donchian 채널 돌파 entryN=80, exitN=25 |
0.9% | -40.5% | 0.14 | 0.02 | 1.2x | 42 | 27% |
| EMA 크로스오버 fast=31, slow=83 |
0.5% | -41.5% | 0.11 | 0.01 | 1.1x | 42 | 43% |
| Parabolic SAR step=0.03, maxStep=0.06 |
0.1% | -46.7% | 0.09 | 0.00 | 1.0x | 236 | 52% |
| Supertrend period=19, mult=4.8 |
-0.8% | -45.6% | 0.04 | -0.02 | 0.9x | 70 | 54% |
| MACD fast=17, slow=29, signal=12 |
-1.8% | -53.8% | -0.02 | -0.03 | 0.7x | 242 | 53% |
| ROC 모멘텀 n=139, threshold=0.09 |
-2.2% | -55.2% | -0.10 | -0.04 | 0.7x | 110 | 26% |
| Buy and hold | -2.5% | -69.8% | 0.03 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 17-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)