Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Intermediate-Term Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Intermediate-Term Bond ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.0%, MDD -1.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.0%, drawdown -25.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.1%, MDD -12.1%, Sharpe 0.05, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 13.2%p (CAGR 0.0%, MDD -1.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=94, slow=134 |
0.1% | -12.1% | 0.05 | 0.01 | 1.0x | 20 | 54% |
| ADX / DI 방향성 period=48, threshold=26 |
0.1% | -5.4% | 0.04 | 0.01 | 1.0x | 4 | 4% |
| 볼린저 밴드 돌파 n=23, k=3.1 |
0.0% | -1.9% | 0.03 | 0.01 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=56, slow=187 |
-0.0% | -11.5% | 0.01 | -0.00 | 1.0x | 26 | 55% |
| Supertrend period=29, mult=5 |
-0.3% | -16.5% | -0.04 | -0.02 | 0.9x | 58 | 56% |
| ROC 모멘텀 n=46, threshold=0.08 |
-0.0% | -4.5% | -0.05 | -0.01 | 1.0x | 6 | 1% |
| Donchian 채널 돌파 entryN=116, exitN=78 |
-0.5% | -18.9% | -0.11 | -0.03 | 0.9x | 28 | 45% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=3.6 |
-0.1% | -3.6% | -0.20 | -0.03 | 1.0x | 4 | 1% |
| MACD fast=30, slow=57, signal=29 |
-2.2% | -36.3% | -0.51 | -0.06 | 0.7x | 128 | 49% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.6% | -53.1% | -0.84 | -0.07 | 0.5x | 164 | 51% |
| Buy and hold | 0.0% | -25.3% | 0.03 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 94-day EMA crosses above the 134-day EMA
- Sell — Sell when the 94-day EMA falls below the 134-day EMA