Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Communication Services ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Communication Services ETF. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.1%, MDD -23.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.1%, drawdown -58.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -23.0%, Sharpe 0.63, 63% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.8%, MDD -31.3%, exposure 67%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 7.1%, MDD -23.0%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=71, exitN=78 |
7.1% | -23.0% | 0.63 | 0.31 | 4.5x | 28 | 63% |
| SMA 크로스오버 fast=49, slow=237 |
7.8% | -31.3% | 0.60 | 0.25 | 5.1x | 18 | 67% |
| EMA 크로스오버 fast=38, slow=154 |
7.1% | -26.9% | 0.58 | 0.27 | 4.5x | 22 | 67% |
| ROC 모멘텀 n=167, threshold=0.01 |
4.2% | -44.7% | 0.39 | 0.09 | 2.5x | 114 | 64% |
| Supertrend period=24, mult=4.5 |
3.7% | -31.5% | 0.38 | 0.12 | 2.2x | 97 | 57% |
| ADX / DI 방향성 period=19, threshold=39 |
0.3% | -2.7% | 0.24 | 0.10 | 1.1x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=9, mult=2.7 |
0.8% | -34.7% | 0.14 | 0.02 | 1.2x | 104 | 30% |
| 볼린저 밴드 돌파 n=54, k=1.6 |
-0.0% | -35.6% | 0.05 | -0.00 | 1.0x | 110 | 41% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.4% | -54.3% | 0.04 | -0.01 | 0.9x | 206 | 57% |
| MACD fast=19, slow=31, signal=17 |
-5.9% | -75.5% | -0.40 | -0.08 | 0.3x | 314 | 51% |
| Buy and hold | 6.1% | -58.3% | 0.39 | 0.11 | 3.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 71 days
- Sell — Sell when price breaks below the lowest low of the last 78 days