Trend-Following Backtester · Guide · backtest 한국어

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Vanguard S&P 500 Growth ETF backtest

10 trend-following strategies were compared on the full daily history of Vanguard S&P 500 Growth ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2010-09-09 ~ 2026-07-31daily bars 3,997 (15.9 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 15.3%, drawdown -33.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.1%, MDD -41.2%, Sharpe 0.79, 89% 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=15, exitN=62
11.1%-41.2%0.790.275.4x3589%
SMA 크로스오버
fast=6, slow=204
9.8%-21.8%0.760.454.4x3379%
EMA 크로스오버
fast=25, slow=151
10.2%-26.0%0.750.394.7x1981%
ROC 모멘텀
n=132, threshold=-0.04
8.2%-32.7%0.610.253.5x7786%
Supertrend
period=29, mult=4.5
6.5%-28.4%0.590.232.7x7669%
Parabolic SAR
step=0.005, maxStep=0.28
4.8%-22.3%0.450.222.1x16066%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=5, mult=3.3
2.9%-29.9%0.360.101.6x8450%
MACD
fast=23, slow=59, signal=34
2.3%-35.4%0.270.071.4x12653%
볼린저 밴드 돌파
n=42, k=1.3
1.9%-29.5%0.240.071.4x12257%
ADX / DI 방향성
period=25, threshold=35
0.1%-1.2%0.140.091.0x20%
Buy and hold15.3%-33.1%0.850.469.5x1100%
1x 2011 2013 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -10% -21% -31% -41% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -41.2% (2021-12-27 → 2022-11-03), recovered after 1,047 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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