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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.

Data 2004-01-30 ~ 2026-07-31daily bars 5,661 (22.5 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.3%, drawdown -40.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -27.0%, Sharpe 0.59, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=70, exitN=64
6.1%-27.0%0.590.223.8x3367%
SMA 크로스오버
fast=8, slow=134
4.8%-32.0%0.480.152.9x6168%
EMA 크로스오버
fast=38, slow=142
4.2%-34.2%0.400.122.5x4370%
볼린저 밴드 돌파
n=11, k=2.6
0.5%-6.2%0.260.091.1x163%
Supertrend
period=12, mult=4.6
1.8%-35.1%0.230.051.5x9361%
ROC 모멘텀
n=134, threshold=0.05
1.0%-42.7%0.160.021.3x14951%
Keltner 채널 돌파
emaPeriod=29, atrPeriod=29, mult=3.8
0.2%-14.0%0.080.021.1x299%
Parabolic SAR
step=0.005, maxStep=0.32
-2.2%-49.0%-0.15-0.050.6x21562%
ADX / DI 방향성
period=39, threshold=12
-1.3%-37.6%-0.17-0.040.7x13729%
MACD
fast=17, slow=41, signal=11
-2.9%-55.1%-0.23-0.050.5x32752%
Buy and hold8.3%-40.9%0.560.206.1x1100%
1x 2005 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -10% -20% -31% -41% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -27.0% (2007-06-01 → 2009-06-15), recovered after 1,400 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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