Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Emerging Markets High Yield Bond ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Emerging Markets High Yield Bond ETF. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.8%, MDD -1.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.6%, drawdown -40.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.8%, MDD -1.9%, Sharpe 0.51, 2% exposure.
CAGR reference leader: Supertrend — CAGR 1.1%, MDD -9.6%, exposure 57%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 0.8%, MDD -1.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=36, threshold=0.07 |
0.8% | -1.9% | 0.51 | 0.40 | 1.1x | 6 | 2% |
| ADX / DI 방향성 period=32, threshold=23 |
0.8% | -4.8% | 0.42 | 0.17 | 1.1x | 14 | 12% |
| Supertrend period=18, mult=4.9 |
1.1% | -9.6% | 0.27 | 0.12 | 1.2x | 24 | 57% |
| Donchian 채널 돌파 entryN=35, exitN=26 |
1.0% | -10.1% | 0.26 | 0.10 | 1.1x | 40 | 45% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=11, mult=3.9 |
0.2% | -2.1% | 0.23 | 0.09 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=52, k=1.3 |
0.3% | -11.1% | 0.11 | 0.03 | 1.0x | 60 | 39% |
| SMA 크로스오버 fast=11, slow=41 |
0.3% | -15.1% | 0.10 | 0.02 | 1.0x | 76 | 53% |
| EMA 크로스오버 fast=16, slow=97 |
-0.4% | -12.0% | -0.08 | -0.04 | 0.9x | 40 | 54% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.2% | -21.8% | -0.21 | -0.05 | 0.8x | 120 | 54% |
| MACD fast=19, slow=49, signal=18 |
-2.4% | -29.3% | -0.47 | -0.08 | 0.7x | 126 | 46% |
| Buy and hold | -1.6% | -40.9% | -0.14 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 36-day return is greater than 7%
- Sell — Sell when the 36-day return drops to 7% or below