Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Mega Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Mega Cap ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.9%, MDD -19.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -53.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -19.8%, Sharpe 0.78, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 33.2%p (CAGR 8.9%, MDD -19.8%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=11, slow=204 |
8.9% | -19.8% | 0.78 | 0.45 | 5.0x | 27 | 77% |
| EMA 크로스오버 fast=28, slow=122 |
8.4% | -20.7% | 0.73 | 0.41 | 4.5x | 27 | 77% |
| Donchian 채널 돌파 entryN=109, exitN=61 |
6.2% | -16.3% | 0.63 | 0.38 | 3.1x | 31 | 66% |
| Supertrend period=20, mult=4.8 |
6.5% | -22.6% | 0.62 | 0.29 | 3.3x | 75 | 68% |
| ROC 모멘텀 n=149, threshold=-0.03 |
6.3% | -34.8% | 0.54 | 0.18 | 3.1x | 85 | 82% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
1.5% | -26.1% | 0.21 | 0.06 | 1.3x | 113 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=3.1 |
1.4% | -30.5% | 0.21 | 0.05 | 1.3x | 89 | 49% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.1% | -42.6% | 0.05 | -0.00 | 1.0x | 191 | 64% |
| ADX / DI 방향성 period=32, threshold=16 |
-0.6% | -19.1% | -0.10 | -0.03 | 0.9x | 70 | 16% |
| MACD fast=18, slow=42, signal=17 |
-1.9% | -48.0% | -0.12 | -0.04 | 0.7x | 232 | 53% |
| Buy and hold | 9.6% | -53.0% | 0.57 | 0.18 | 5.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 11-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 11-day average falls below the 204-day average