Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Uranium and Nuclear ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Uranium and Nuclear ETF. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -20.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.2%, drawdown -74.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.3%, MDD -33.9%, Sharpe 0.22, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 0.4%, MDD -20.7%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=65, exitN=58 |
2.3% | -33.9% | 0.22 | 0.07 | 1.5x | 30 | 48% |
| SMA 크로스오버 fast=43, slow=188 |
0.9% | -39.1% | 0.14 | 0.02 | 1.2x | 32 | 51% |
| ROC 모멘텀 n=101, threshold=-0.08 |
0.6% | -54.1% | 0.13 | 0.01 | 1.1x | 108 | 78% |
| EMA 크로스오버 fast=34, slow=138 |
0.6% | -47.8% | 0.12 | 0.01 | 1.1x | 36 | 52% |
| ADX / DI 방향성 period=35, threshold=22 |
0.4% | -20.7% | 0.09 | 0.02 | 1.1x | 8 | 2% |
| 볼린저 밴드 돌파 n=78, k=3.1 |
-0.3% | -15.7% | -0.05 | -0.02 | 1.0x | 8 | 5% |
| MACD fast=17, slow=36, signal=17 |
-3.5% | -78.2% | -0.12 | -0.04 | 0.5x | 231 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.6% | -74.9% | -0.14 | -0.05 | 0.5x | 163 | 53% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=20, mult=3.2 |
-2.6% | -59.2% | -0.15 | -0.04 | 0.6x | 76 | 31% |
| Supertrend period=17, mult=2.8 |
-3.8% | -77.0% | -0.15 | -0.05 | 0.5x | 215 | 52% |
| Buy and hold | 0.2% | -74.6% | 0.14 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 65 days
- Sell — Sell when price breaks below the lowest low of the last 58 days