Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Industrials ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Industrials ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -30.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.3%, drawdown -64.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.7%, MDD -54.7%, Sharpe 0.57, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 10.2%p (CAGR 7.5%, MDD -30.2%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.09 |
9.7% | -54.7% | 0.57 | 0.18 | 7.5x | 47 | 98% |
| Donchian 채널 돌파 entryN=50, exitN=78 |
7.5% | -30.2% | 0.57 | 0.25 | 4.9x | 33 | 80% |
| EMA 크로스오버 fast=39, slow=162 |
6.5% | -26.2% | 0.52 | 0.25 | 3.9x | 29 | 75% |
| SMA 크로스오버 fast=48, slow=91 |
6.4% | -28.0% | 0.52 | 0.23 | 3.8x | 59 | 69% |
| Supertrend period=25, mult=5 |
5.3% | -26.9% | 0.45 | 0.20 | 3.1x | 83 | 66% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
0.2% | -2.8% | 0.30 | 0.08 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.0% | -34.6% | 0.14 | 0.03 | 1.2x | 204 | 63% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=18, mult=1.2 |
0.1% | -44.1% | 0.06 | 0.00 | 1.0x | 210 | 56% |
| ADX / DI 방향성 period=29, threshold=13 |
-1.1% | -42.1% | -0.08 | -0.03 | 0.8x | 172 | 33% |
| MACD fast=17, slow=37, signal=13 |
-2.5% | -57.9% | -0.12 | -0.04 | 0.6x | 306 | 50% |
| Buy and hold | 9.3% | -64.9% | 0.52 | 0.14 | 7.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -9%
- Sell — Sell when the 8-day return drops to -9% or below