Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Small-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Small-Cap ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -26.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -61.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -26.0%, Sharpe 0.55, 74% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 35.1%p (CAGR 7.5%, MDD -26.0%, exposure 74%).
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=54, exitN=76 |
7.5% | -26.0% | 0.55 | 0.29 | 5.1x | 33 | 74% |
| EMA 크로스오버 fast=51, slow=179 |
6.4% | -35.3% | 0.49 | 0.18 | 4.0x | 21 | 73% |
| SMA 크로스오버 fast=13, slow=190 |
5.8% | -26.5% | 0.47 | 0.22 | 3.5x | 49 | 71% |
| ROC 모멘텀 n=112, threshold=-0.06 |
5.0% | -35.9% | 0.39 | 0.14 | 3.0x | 105 | 82% |
| Supertrend period=24, mult=4.3 |
4.0% | -28.6% | 0.35 | 0.14 | 2.4x | 101 | 65% |
| 볼린저 밴드 돌파 n=28, k=2.9 |
0.2% | -8.3% | 0.10 | 0.03 | 1.0x | 8 | 2% |
| ADX / DI 방향성 period=25, threshold=34 |
0.1% | -2.1% | 0.07 | 0.03 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.7% | -36.7% | 0.03 | -0.02 | 0.9x | 226 | 61% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=1.9 |
-0.5% | -42.7% | 0.01 | -0.01 | 0.9x | 158 | 49% |
| MACD fast=15, slow=32, signal=16 |
-3.7% | -64.1% | -0.20 | -0.06 | 0.4x | 328 | 51% |
| Buy and hold | 8.3% | -61.0% | 0.47 | 0.14 | 6.0x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 76 days