Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard S&P 500 Value ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P 500 Value ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -25.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -37.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.5%, MDD -25.5%, Sharpe 0.67, 96% 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 1.3%p lower than buy and hold, while drawdown improves by 12.2%p (CAGR 7.5%, MDD -25.3%, exposure 92%).
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 96% n=11, threshold=-0.05 |
8.5% | -25.5% | 0.67 | 0.33 | 3.7x | 75 | 96% |
| Donchian 채널 돌파 entryN=10, exitN=74 |
7.5% | -25.3% | 0.63 | 0.30 | 3.2x | 39 | 92% |
| SMA 크로스오버 fast=12, slow=168 |
5.7% | -18.9% | 0.58 | 0.30 | 2.4x | 31 | 74% |
| EMA 크로스오버 fast=50, slow=101 |
5.9% | -23.7% | 0.57 | 0.25 | 2.5x | 23 | 77% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=25, mult=3.4 |
0.3% | -2.3% | 0.32 | 0.11 | 1.0x | 2 | 1% |
| Supertrend period=18, mult=4.5 |
2.0% | -26.7% | 0.25 | 0.07 | 1.4x | 85 | 62% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.3% | -27.5% | 0.08 | 0.01 | 1.1x | 153 | 61% |
| ADX / DI 방향성 period=34, threshold=26 |
0.1% | -4.8% | 0.06 | 0.02 | 1.0x | 6 | 2% |
| 볼린저 밴드 돌파 n=41, k=1.8 |
-0.8% | -29.5% | -0.07 | -0.03 | 0.9x | 97 | 44% |
| MACD fast=18, slow=36, signal=14 |
-1.7% | -30.8% | -0.13 | -0.06 | 0.8x | 211 | 51% |
| Buy and hold | 9.8% | -37.7% | 0.66 | 0.26 | 4.4x | 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 11-day return is greater than -5%
- Sell — Sell when the 11-day return drops to -5% or below