Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Total World Stock Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Total World Stock Index ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.5%, MDD -23.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -50.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -23.3%, Sharpe 0.50, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 27.5%p (CAGR 5.5%, MDD -23.3%, 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=43, slow=112 |
5.5% | -23.3% | 0.50 | 0.23 | 2.6x | 23 | 73% |
| SMA 크로스오버 fast=29, slow=125 |
5.1% | -35.1% | 0.47 | 0.15 | 2.5x | 33 | 69% |
| Donchian 채널 돌파 entryN=31, exitN=68 |
5.1% | -26.6% | 0.45 | 0.19 | 2.5x | 41 | 79% |
| ROC 모멘텀 n=118, threshold=-0.03 |
4.7% | -29.5% | 0.43 | 0.16 | 2.3x | 83 | 78% |
| Supertrend period=18, mult=5 |
3.3% | -26.9% | 0.35 | 0.12 | 1.8x | 67 | 63% |
| 볼린저 밴드 돌파 n=15, k=3 |
0.0% | -2.0% | 0.05 | 0.02 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=26, mult=3.5 |
-0.2% | -28.1% | -0.01 | -0.01 | 1.0x | 44 | 19% |
| ADX / DI 방향성 period=12, threshold=37 |
-0.3% | -9.4% | -0.21 | -0.03 | 0.9x | 10 | 1% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.2% | -55.1% | -0.22 | -0.06 | 0.6x | 188 | 60% |
| MACD fast=20, slow=31, signal=15 |
-4.7% | -60.2% | -0.33 | -0.08 | 0.4x | 262 | 51% |
| Buy and hold | 6.5% | -50.8% | 0.41 | 0.13 | 3.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 112-day EMA
- Sell — Sell when the 43-day EMA falls below the 112-day EMA