Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Ultra-Short Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Ultra-Short Bond ETF. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR -0.2%, drawdown -3.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.0%, MDD -1.2%, Sharpe -0.02, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=160, exitN=146 |
-0.0% | -1.2% | -0.02 | -0.02 | 1.0x | 2 | 56% |
| ROC 모멘텀 n=175, threshold=-0.01 |
-0.1% | -2.4% | -0.09 | -0.05 | 1.0x | 3 | 73% |
| SMA 크로스오버 fast=42, slow=186 |
-0.5% | -2.4% | -0.37 | -0.19 | 1.0x | 6 | 51% |
| 볼린저 밴드 돌파 n=54, k=3 |
-0.2% | -1.0% | -0.40 | -0.19 | 1.0x | 2 | 3% |
| EMA 크로스오버 fast=41, slow=198 |
-0.5% | -3.2% | -0.42 | -0.16 | 1.0x | 6 | 47% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=17, mult=2.9 |
-0.3% | -1.4% | -0.59 | -0.19 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=33, threshold=36 |
-0.2% | -1.2% | -0.67 | -0.19 | 1.0x | 2 | 1% |
| Supertrend period=25, mult=4.9 |
-2.8% | -14.1% | -1.91 | -0.20 | 0.9x | 26 | 39% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.9% | -18.9% | -2.32 | -0.20 | 0.8x | 38 | 39% |
| MACD fast=19, slow=65, signal=23 |
-6.9% | -31.6% | -3.35 | -0.22 | 0.7x | 65 | 46% |
| Buy and hold | -0.2% | -3.2% | -0.15 | -0.07 | 1.0x | 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 160 days
- Sell — Sell when price breaks below the lowest low of the last 146 days