Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard FTSE Developed Markets ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Developed Markets 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 3.4%, MDD -23.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.0%, drawdown -62.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -23.4%, Sharpe 0.33, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 3.4%, MDD -23.4%, 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=25, slow=107 |
3.4% | -23.4% | 0.33 | 0.15 | 1.9x | 41 | 60% |
| EMA 크로스오버 fast=50, slow=126 |
2.9% | -26.5% | 0.30 | 0.11 | 1.7x | 33 | 62% |
| 볼린저 밴드 돌파 n=80, k=2.6 |
0.7% | -11.1% | 0.21 | 0.07 | 1.2x | 10 | 10% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=4 |
1.1% | -22.5% | 0.19 | 0.05 | 1.2x | 38 | 26% |
| Donchian 채널 돌파 entryN=28, exitN=77 |
1.3% | -34.9% | 0.16 | 0.04 | 1.3x | 49 | 74% |
| Supertrend period=25, mult=4.5 |
1.2% | -33.9% | 0.16 | 0.04 | 1.3x | 87 | 61% |
| ROC 모멘텀 n=111, threshold=-0.06 |
0.7% | -34.5% | 0.12 | 0.02 | 1.2x | 121 | 75% |
| ADX / DI 방향성 period=35, threshold=27 |
-0.0% | -2.8% | -0.01 | -0.01 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.8% | -50.0% | -0.08 | -0.04 | 0.7x | 172 | 56% |
| MACD fast=17, slow=67, signal=37 |
-2.1% | -50.7% | -0.11 | -0.04 | 0.7x | 154 | 49% |
| Buy and hold | 2.0% | -62.9% | 0.20 | 0.03 | 1.5x | 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 25-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 25-day average falls below the 107-day average