Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard ESG International Stock ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard ESG International Stock ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.6%, MDD -17.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.2%, drawdown -34.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -18.5%, Sharpe 0.59, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 16.0%p (CAGR 6.6%, MDD -17.9%, exposure 63%).
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=41, exitN=88 |
6.9% | -18.5% | 0.59 | 0.37 | 1.7x | 13 | 71% |
| SMA 크로스오버 fast=49, slow=78 |
6.6% | -17.9% | 0.58 | 0.37 | 1.7x | 19 | 63% |
| ROC 모멘텀 n=52, threshold=-0.04 |
6.0% | -25.4% | 0.50 | 0.24 | 1.6x | 49 | 82% |
| EMA 크로스오버 fast=31, slow=167 |
4.7% | -19.3% | 0.43 | 0.24 | 1.4x | 15 | 68% |
| 볼린저 밴드 돌파 n=55, k=0.5 |
3.7% | -24.4% | 0.39 | 0.15 | 1.3x | 59 | 58% |
| Supertrend period=28, mult=4.5 |
3.5% | -32.7% | 0.34 | 0.11 | 1.3x | 41 | 66% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=24, mult=1.1 |
3.0% | -18.0% | 0.33 | 0.17 | 1.3x | 67 | 57% |
| ADX / DI 방향성 period=34, threshold=11 |
-0.8% | -18.5% | -0.05 | -0.04 | 0.9x | 62 | 36% |
| MACD fast=12, slow=55, signal=9 |
-1.3% | -30.5% | -0.07 | -0.04 | 0.9x | 129 | 49% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-3.5% | -35.1% | -0.25 | -0.10 | 0.8x | 151 | 57% |
| Buy and hold | 6.2% | -34.5% | 0.42 | 0.18 | 1.6x | 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 41 days
- Sell — Sell when price breaks below the lowest low of the last 88 days