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Trend-Following Backtester · Guide · backtest 한국어

etf · US

Vanguard FTSE All-Wld ex-US SmCp Idx ETF backtest

10 trend-following strategies were compared on the full daily history of Vanguard FTSE All-Wld ex-US SmCp Idx ETF. 0 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 5.4%, MDD -23.0%).

Data 2009-04-06 ~ 2026-08-31daily bars 4,378 (17.4 years)Costs 0.5%Venue XASEMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 6.6%, drawdown -46.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -23.0%, Sharpe 0.46, 73% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 23.8%p (CAGR 5.4%, MDD -23.0%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=42, exitN=87
5.4%-23.0%0.460.232.5x2773%
ADX / DI 방향성
period=34, threshold=26
1.3%-8.5%0.390.151.3x63%
EMA 크로스오버
fast=56, slow=64
4.0%-26.6%0.380.152.0x3566%
Supertrend
period=19, mult=5
3.8%-30.8%0.370.121.9x6563%
ROC 모멘텀
Hold-like · Exposure 98%
n=11, threshold=-0.09
4.9%-41.6%0.370.122.3x4398%
SMA 크로스오버
fast=59, slow=73
3.7%-25.0%0.360.151.9x7262%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=24, mult=2
-0.0%-34.6%0.05-0.001.0x11149%
볼린저 밴드 돌파
n=58, k=1.6
-0.3%-28.7%0.01-0.011.0x8942%
Parabolic SAR
step=0.005, maxStep=0.36
-1.9%-59.0%-0.11-0.030.7x16958%
MACD
fast=17, slow=27, signal=10
-4.2%-66.7%-0.35-0.060.5x29749%
Buy and hold6.6%-46.8%0.440.143.0x1100%
1x 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -12% -23% -35% -47% 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -23.0% (2011-04-29 → 2012-08-30), recovered after 2,280 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 carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore US assetsAll asset reports

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