Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Mid-Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Mid-Cap Value ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.6%, MDD -26.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -63.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -26.2%, Sharpe 0.57, 70% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.6%, MDD -26.8%, exposure 73%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 37.2%p (CAGR 6.6%, MDD -26.8%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=35, slow=80 |
6.4% | -26.2% | 0.57 | 0.24 | 3.4x | 37 | 70% |
| Donchian 채널 돌파 entryN=58, exitN=75 |
6.6% | -26.8% | 0.55 | 0.24 | 3.6x | 29 | 73% |
| SMA 크로스오버 fast=19, slow=136 |
5.8% | -26.6% | 0.52 | 0.22 | 3.1x | 39 | 68% |
| ROC 모멘텀 n=87, threshold=-0.1 |
5.7% | -40.5% | 0.43 | 0.14 | 3.0x | 69 | 89% |
| Supertrend period=16, mult=4.8 |
4.4% | -25.4% | 0.41 | 0.17 | 2.3x | 77 | 63% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
1.1% | -4.7% | 0.40 | 0.23 | 1.2x | 2 | 3% |
| ADX / DI 방향성 period=26, threshold=29 |
0.3% | -4.6% | 0.21 | 0.06 | 1.1x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=15, mult=1.6 |
0.7% | -41.0% | 0.12 | 0.02 | 1.2x | 151 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.5% | -51.3% | -0.04 | -0.03 | 0.7x | 197 | 62% |
| MACD fast=17, slow=35, signal=13 |
-2.9% | -56.3% | -0.15 | -0.05 | 0.6x | 293 | 52% |
| Buy and hold | 7.2% | -63.4% | 0.44 | 0.11 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 80-day EMA
- Sell — Sell when the 35-day EMA falls below the 80-day EMA