Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Short-Term Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Short-Term Bond ETF. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 0.4%, MDD -5.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.2%, drawdown -11.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.4%, MDD -5.3%, Sharpe 0.22, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 5.8%p (CAGR 0.4%, MDD -5.3%, exposure 50%).
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=130, slow=382 |
0.4% | -5.3% | 0.22 | 0.08 | 1.1x | 8 | 50% |
| ADX / DI 방향성 period=27, threshold=35 |
-0.0% | -0.9% | -0.06 | -0.02 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=50, k=3.3 |
-0.1% | -2.3% | -0.17 | -0.02 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=71, threshold=0.07 |
-0.1% | -2.3% | -0.18 | -0.03 | 1.0x | 4 | 0% |
| Donchian 채널 돌파 entryN=41, exitN=95 |
-0.6% | -17.5% | -0.26 | -0.03 | 0.9x | 32 | 70% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=8, mult=4 |
-0.2% | -4.7% | -0.33 | -0.05 | 1.0x | 12 | 4% |
| SMA 크로스오버 fast=51, slow=117 |
-0.9% | -19.6% | -0.40 | -0.04 | 0.8x | 44 | 49% |
| Supertrend period=23, mult=5 |
-1.1% | -21.1% | -0.50 | -0.05 | 0.8x | 54 | 50% |
| MACD fast=38, slow=71, signal=33 |
-3.1% | -46.0% | -1.33 | -0.07 | 0.5x | 119 | 48% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.4% | -57.8% | -1.84 | -0.08 | 0.4x | 168 | 49% |
| Buy and hold | 0.2% | -11.1% | 0.06 | 0.01 | 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 130-day EMA crosses above the 382-day EMA
- Sell — Sell when the 130-day EMA falls below the 382-day EMA