Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Small-Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Small-Cap Value ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -64.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.0%, MDD -30.0%, Sharpe 0.43, 70% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=129 |
5.0% | -30.0% | 0.43 | 0.17 | 3.0x | 47 | 70% |
| SMA 크로스오버 fast=12, slow=282 |
4.5% | -31.3% | 0.39 | 0.14 | 2.7x | 39 | 67% |
| ROC 모멘텀 n=113, threshold=-0.04 |
4.1% | -52.1% | 0.34 | 0.08 | 2.5x | 125 | 79% |
| Donchian 채널 돌파 entryN=25, exitN=79 |
4.4% | -60.6% | 0.34 | 0.07 | 2.6x | 47 | 82% |
| Supertrend period=21, mult=5 |
2.1% | -34.6% | 0.21 | 0.06 | 1.6x | 85 | 64% |
| 볼린저 밴드 돌파 n=113, k=1.7 |
1.6% | -35.2% | 0.20 | 0.05 | 1.4x | 59 | 46% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=1.4 |
0.2% | -43.8% | 0.08 | 0.00 | 1.0x | 187 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.6% | -41.7% | 0.04 | -0.01 | 0.9x | 217 | 61% |
| ADX / DI 방향성 period=32, threshold=16 |
-0.5% | -22.9% | -0.04 | -0.02 | 0.9x | 64 | 11% |
| MACD fast=17, slow=39, signal=23 |
-2.5% | -63.5% | -0.10 | -0.04 | 0.6x | 258 | 51% |
| Buy and hold | 7.4% | -64.1% | 0.43 | 0.11 | 4.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 129-day EMA
- Sell — Sell when the 31-day EMA falls below the 129-day EMA