Trend-Following Backtester · Guide · backtest 한국어

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VanEck Oil Services ETF backtest

10 trend-following strategies were compared on the full daily history of VanEck Oil Services ETF. 9 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 0.5%, MDD -14.2%).

Data 2001-02-26 ~ 2026-07-31daily bars 6,395 (25.4 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR -1.7%, drawdown -95.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.1%, MDD -73.7%, Sharpe 0.28, 78% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 0.5%, MDD -14.2%, exposure 3%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=17, exitN=71
4.1%-73.7%0.280.062.8x6878%
SMA 크로스오버
fast=26, slow=86
2.6%-66.8%0.230.041.9x8453%
볼린저 밴드 돌파
n=35, k=2.8
1.9%-43.7%0.210.041.6x4211%
ROC 모멘텀
n=68, threshold=-0.08
1.3%-76.8%0.180.021.4x23472%
Supertrend
period=29, mult=3.9
1.0%-62.5%0.160.021.3x12250%
EMA 크로스오버
fast=23, slow=115
1.0%-57.3%0.160.021.3x6851%
Keltner 채널 돌파
emaPeriod=44, atrPeriod=28, mult=3.5
1.2%-43.2%0.160.031.4x6220%
Parabolic SAR
step=0.005, maxStep=0.28
0.0%-65.0%0.130.001.0x23952%
ADX / DI 방향성
period=37, threshold=23
0.5%-14.2%0.120.031.1x103%
MACD
fast=16, slow=43, signal=14
-2.7%-88.6%0.04-0.030.5x34352%
Buy and hold-1.7%-95.5%0.15-0.020.6x1100%
1x 2002 2006 2010 2014 2018 2022 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -95% 2002 2006 2010 2014 2018 2022 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -73.7% (2011-03-29 → 2020-04-16), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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