Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard FTSEEuropean ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSEEuropean ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.7%, MDD -27.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.7%, drawdown -67.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.7%, MDD -27.5%, Sharpe 0.33, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 3.7%, MDD -27.5%, exposure 61%).
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=19, slow=208 |
3.7% | -27.5% | 0.33 | 0.13 | 2.2x | 31 | 61% |
| EMA 크로스오버 fast=56, slow=90 |
3.6% | -33.6% | 0.33 | 0.11 | 2.1x | 37 | 64% |
| Donchian 채널 돌파 entryN=44, exitN=81 |
2.8% | -39.0% | 0.26 | 0.07 | 1.8x | 41 | 71% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
0.2% | -1.8% | 0.25 | 0.11 | 1.0x | 2 | 1% |
| Supertrend period=27, mult=4.6 |
1.2% | -41.6% | 0.16 | 0.03 | 1.3x | 101 | 61% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=23, mult=3.4 |
0.6% | -35.8% | 0.11 | 0.02 | 1.1x | 70 | 40% |
| MACD fast=25, slow=56, signal=28 |
0.3% | -39.5% | 0.09 | 0.01 | 1.1x | 156 | 51% |
| ADX / DI 방향성 period=39, threshold=23 |
0.1% | -3.8% | 0.08 | 0.02 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=124, threshold=0 |
-1.3% | -62.8% | -0.03 | -0.02 | 0.8x | 179 | 62% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.6% | -67.5% | -0.19 | -0.05 | 0.5x | 201 | 57% |
| Buy and hold | 2.7% | -67.3% | 0.23 | 0.04 | 1.8x | 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 19-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 19-day average falls below the 208-day average