Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Small-Cap Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Small-Cap Growth 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 8.9%, MDD -45.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -59.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -45.3%, Sharpe 0.57, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 14.1%p (CAGR 8.9%, MDD -45.3%, exposure 85%).
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=24, exitN=78 |
8.9% | -45.3% | 0.57 | 0.20 | 6.9x | 41 | 85% |
| EMA 크로스오버 fast=54, slow=64 |
6.3% | -30.3% | 0.49 | 0.21 | 4.0x | 49 | 71% |
| SMA 크로스오버 fast=9, slow=200 |
6.2% | -25.7% | 0.48 | 0.24 | 3.9x | 49 | 72% |
| ROC 모멘텀 n=71, threshold=-0.06 |
6.3% | -42.4% | 0.45 | 0.15 | 4.0x | 117 | 83% |
| Supertrend period=26, mult=4.7 |
5.0% | -33.7% | 0.41 | 0.15 | 3.0x | 89 | 64% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=27, mult=1.5 |
2.8% | -37.9% | 0.28 | 0.07 | 1.8x | 143 | 58% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
1.1% | -39.5% | 0.15 | 0.03 | 1.3x | 128 | 47% |
| ADX / DI 방향성 period=31, threshold=16 |
-0.6% | -26.4% | -0.05 | -0.02 | 0.9x | 88 | 13% |
| MACD fast=21, slow=57, signal=23 |
-1.9% | -60.4% | -0.07 | -0.03 | 0.6x | 242 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.9% | -55.9% | -0.12 | -0.05 | 0.5x | 233 | 62% |
| Buy and hold | 9.1% | -59.4% | 0.49 | 0.15 | 7.1x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 78 days