Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Real Estate ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Real Estate ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.1%, MDD -52.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.2%, drawdown -75.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.1%, MDD -52.9%, Sharpe 0.27, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 22.9%p (CAGR 3.1%, MDD -52.9%, exposure 62%).
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=78, slow=169 |
3.1% | -52.9% | 0.27 | 0.06 | 1.9x | 35 | 62% |
| 볼린저 밴드 돌파 n=48, k=3.3 |
0.2% | -5.2% | 0.16 | 0.04 | 1.0x | 2 | 1% |
| Supertrend period=9, mult=4.8 |
0.7% | -40.9% | 0.12 | 0.02 | 1.2x | 75 | 50% |
| EMA 크로스오버 fast=41, slow=156 |
0.7% | -58.2% | 0.12 | 0.01 | 1.2x | 47 | 60% |
| ROC 모멘텀 n=124, threshold=-0.02 |
-0.2% | -51.3% | 0.07 | -0.00 | 1.0x | 171 | 68% |
| Donchian 채널 돌파 entryN=12, exitN=54 |
-0.9% | -60.5% | 0.06 | -0.01 | 0.8x | 81 | 83% |
| MACD fast=30, slow=51, signal=39 |
-0.5% | -41.8% | 0.06 | -0.01 | 0.9x | 153 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=21, mult=4 |
-0.1% | -22.5% | 0.02 | -0.00 | 1.0x | 40 | 18% |
| ADX / DI 방향성 period=22, threshold=24 |
-1.1% | -35.0% | -0.16 | -0.03 | 0.8x | 50 | 9% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-6.1% | -78.1% | -0.22 | -0.08 | 0.3x | 411 | 55% |
| Buy and hold | 3.2% | -75.8% | 0.25 | 0.04 | 2.0x | 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 78-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 78-day average falls below the 169-day average