Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Energy ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Energy ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -31.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.7%, drawdown -78.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -31.3%, Sharpe 0.47, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 7.3%, MDD -31.3%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=224 |
7.3% | -31.3% | 0.47 | 0.23 | 4.7x | 29 | 60% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
0.9% | -3.9% | 0.43 | 0.23 | 1.2x | 2 | 2% |
| Donchian 채널 돌파 entryN=18, exitN=76 |
6.3% | -41.2% | 0.38 | 0.15 | 3.8x | 53 | 79% |
| EMA 크로스오버 fast=54, slow=175 |
4.9% | -48.0% | 0.35 | 0.10 | 2.9x | 29 | 62% |
| Supertrend period=15, mult=3.9 |
3.3% | -48.8% | 0.27 | 0.07 | 2.0x | 115 | 53% |
| ROC 모멘텀 n=185, threshold=0.08 |
2.1% | -46.4% | 0.21 | 0.05 | 1.6x | 197 | 44% |
| ADX / DI 방향성 period=25, threshold=19 |
1.0% | -24.7% | 0.16 | 0.04 | 1.3x | 62 | 13% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.1% | -60.6% | 0.15 | 0.02 | 1.3x | 199 | 53% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=9, mult=3.8 |
0.6% | -36.1% | 0.11 | 0.02 | 1.1x | 38 | 11% |
| MACD fast=11, slow=40, signal=22 |
-0.4% | -66.5% | 0.08 | -0.01 | 0.9x | 285 | 52% |
| Buy and hold | 5.7% | -78.5% | 0.34 | 0.07 | 3.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 224-day average
- Sell — Sell (to cash) when the 39-day average falls below the 224-day average