Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Tax-Exempt Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Tax-Exempt Bond ETF. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -0.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.1%, drawdown -17.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -2.9%, Sharpe 0.28, 7% exposure.
CAGR reference leader: Supertrend — CAGR 0.4%, MDD -10.0%, exposure 65%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 14.1%p (CAGR -0.1%, MDD -0.7%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=3.1 |
0.2% | -2.9% | 0.28 | 0.08 | 1.0x | 6 | 7% |
| Supertrend period=26, mult=4 |
0.4% | -10.0% | 0.15 | 0.04 | 1.0x | 52 | 65% |
| ADX / DI 방향성 period=32, threshold=35 |
0.0% | -1.8% | 0.10 | 0.02 | 1.0x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=11, mult=2.9 |
-0.1% | -6.2% | -0.06 | -0.02 | 1.0x | 34 | 39% |
| SMA 크로스오버 fast=54, slow=141 |
-0.9% | -17.0% | -0.19 | -0.05 | 0.9x | 22 | 51% |
| Donchian 채널 돌파 entryN=11, exitN=76 |
-0.9% | -15.4% | -0.25 | -0.06 | 0.9x | 38 | 80% |
| ROC 모멘텀 n=95, threshold=0.13 |
-0.1% | -0.7% | -0.32 | -0.09 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=49, slow=109 |
-1.8% | -21.8% | -0.49 | -0.08 | 0.8x | 22 | 58% |
| MACD fast=20, slow=54, signal=24 |
-1.5% | -16.2% | -0.59 | -0.09 | 0.8x | 82 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.1% | -22.2% | -0.76 | -0.09 | 0.8x | 84 | 59% |
| Buy and hold | -0.1% | -17.0% | -0.00 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 28-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 28-day middle average