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 8.8%, MDD -19.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -53.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -19.8%, Sharpe 0.77, 76% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 33.2%p (CAGR 8.8%, MDD -19.8%, exposure 76%).
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 |
8.8% | -19.8% | 0.77 | 0.45 | 4.8x | 27 | 76% |
| EMA 크로스오버 fast=28, slow=122 |
8.3% | -20.7% | 0.72 | 0.40 | 4.4x | 27 | 77% |
| Supertrend period=20, mult=4.8 |
6.6% | -22.6% | 0.63 | 0.29 | 3.3x | 74 | 68% |
| Donchian 채널 돌파 entryN=109, exitN=61 |
6.1% | -16.3% | 0.62 | 0.37 | 3.0x | 31 | 65% |
| ROC 모멘텀 n=149, threshold=-0.03 |
6.2% | -34.8% | 0.53 | 0.18 | 3.0x | 85 | 82% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=3.1 |
1.5% | -30.5% | 0.22 | 0.05 | 1.3x | 88 | 48% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
1.6% | -26.1% | 0.22 | 0.06 | 1.3x | 112 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.1% | -42.6% | 0.04 | -0.00 | 1.0x | 190 | 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 |
-1.8% | -48.0% | -0.11 | -0.04 | 0.7x | 230 | 53% |
| Buy and hold | 9.5% | -53.0% | 0.56 | 0.18 | 5.4x | 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