Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Oil Refiners ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Oil Refiners ETF. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.5%, MDD -27.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.0%, drawdown -60.4%).
Sharpe leader (same as main): Supertrend — CAGR 13.5%, MDD -27.2%, Sharpe 0.93, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 13.5%, MDD -27.2%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=4.1 |
13.5% | -27.2% | 0.93 | 0.50 | 4.1x | 57 | 57% |
| ROC 모멘텀 n=142, threshold=-0.11 |
12.5% | -42.4% | 0.76 | 0.29 | 3.7x | 27 | 80% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=2.4 |
9.0% | -26.5% | 0.74 | 0.34 | 2.6x | 47 | 46% |
| Donchian 채널 돌파 entryN=28, exitN=37 |
10.2% | -30.9% | 0.69 | 0.33 | 2.9x | 41 | 66% |
| EMA 크로스오버 fast=8, slow=204 |
9.1% | -38.2% | 0.67 | 0.24 | 2.6x | 29 | 61% |
| MACD fast=19, slow=69, signal=14 |
8.6% | -35.5% | 0.65 | 0.24 | 2.5x | 99 | 51% |
| ADX / DI 방향성 period=26, threshold=11 |
7.6% | -25.2% | 0.61 | 0.30 | 2.2x | 121 | 50% |
| SMA 크로스오버 fast=19, slow=203 |
7.6% | -43.7% | 0.58 | 0.17 | 2.2x | 25 | 60% |
| 볼린저 밴드 돌파 n=34, k=1.1 |
7.1% | -25.3% | 0.58 | 0.28 | 2.1x | 97 | 48% |
| Parabolic SAR step=0.045, maxStep=0.44 |
7.6% | -33.4% | 0.56 | 0.23 | 2.3x | 346 | 56% |
| Buy and hold | 11.0% | -60.4% | 0.58 | 0.18 | 3.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)