Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Real Assets ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Real Assets ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.3%, MDD -23.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.3%, drawdown -35.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -6.6%, Sharpe 0.60, 8% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.5%, MDD -22.6%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 28.6%p (CAGR 5.3%, MDD -23.9%, exposure 92%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=23 |
2.7% | -6.6% | 0.60 | 0.41 | 1.2x | 2 | 8% |
| ROC 모멘텀 Hold-like · Exposure 97% n=20, threshold=-0.11 |
6.5% | -22.6% | 0.50 | 0.29 | 1.7x | 9 | 97% |
| Donchian 채널 돌파 entryN=13, exitN=97 |
5.3% | -23.9% | 0.44 | 0.22 | 1.5x | 13 | 92% |
| EMA 크로스오버 fast=93, slow=204 |
3.4% | -24.5% | 0.33 | 0.14 | 1.3x | 7 | 61% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
0.6% | -3.6% | 0.25 | 0.15 | 1.0x | 2 | 2% |
| SMA 크로스오버 fast=43, slow=160 |
2.1% | -32.8% | 0.23 | 0.07 | 1.2x | 15 | 68% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=27, mult=2.9 |
-0.5% | -17.8% | -0.04 | -0.03 | 1.0x | 32 | 20% |
| Supertrend period=25, mult=4.7 |
-1.5% | -34.7% | -0.07 | -0.04 | 0.9x | 42 | 61% |
| MACD fast=11, slow=23, signal=24 |
-2.7% | -31.3% | -0.21 | -0.09 | 0.8x | 111 | 53% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.8% | -33.5% | -0.30 | -0.11 | 0.7x | 82 | 57% |
| Buy and hold | 5.3% | -35.2% | 0.40 | 0.15 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)