Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Health Care ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Health Care ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -40.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -27.0%, Sharpe 0.61, 67% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=70, exitN=64 |
6.3% | -27.0% | 0.61 | 0.23 | 4.0x | 33 | 67% |
| SMA 크로스오버 fast=8, slow=134 |
5.0% | -32.0% | 0.50 | 0.16 | 3.0x | 61 | 68% |
| EMA 크로스오버 fast=38, slow=142 |
4.4% | -34.2% | 0.42 | 0.13 | 2.7x | 43 | 70% |
| 볼린저 밴드 돌파 n=11, k=2.6 |
0.5% | -6.2% | 0.26 | 0.09 | 1.1x | 16 | 3% |
| Supertrend period=12, mult=4.6 |
2.1% | -35.1% | 0.25 | 0.06 | 1.6x | 93 | 61% |
| ROC 모멘텀 n=134, threshold=0.05 |
1.2% | -42.9% | 0.17 | 0.03 | 1.3x | 151 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=29, mult=3.8 |
0.5% | -14.0% | 0.14 | 0.03 | 1.1x | 29 | 9% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.0% | -49.0% | -0.12 | -0.04 | 0.6x | 215 | 62% |
| ADX / DI 방향성 period=39, threshold=12 |
-1.1% | -37.6% | -0.13 | -0.03 | 0.8x | 137 | 29% |
| MACD fast=17, slow=41, signal=11 |
-2.9% | -55.1% | -0.23 | -0.05 | 0.5x | 329 | 52% |
| Buy and hold | 8.5% | -40.9% | 0.57 | 0.21 | 6.4x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 64 days