Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Value ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Value ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.4%, MDD -20.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -61.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -27.8%, Sharpe 0.60, 74% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -20.4%, exposure 78%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 33.5%p (CAGR 6.4%, MDD -20.4%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=18, slow=183 |
6.2% | -27.8% | 0.60 | 0.22 | 3.9x | 35 | 74% |
| EMA 크로스오버 fast=53, slow=118 |
6.4% | -21.1% | 0.60 | 0.30 | 4.0x | 25 | 75% |
| Donchian 채널 돌파 entryN=68, exitN=109 |
6.4% | -20.4% | 0.60 | 0.31 | 4.0x | 19 | 78% |
| ROC 모멘텀 n=110, threshold=-0.04 |
5.6% | -26.4% | 0.52 | 0.21 | 3.4x | 99 | 82% |
| Supertrend period=11, mult=4.7 |
1.6% | -32.9% | 0.21 | 0.05 | 1.4x | 95 | 56% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
0.4% | -10.2% | 0.20 | 0.04 | 1.1x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=1.9 |
-0.6% | -37.4% | -0.03 | -0.02 | 0.9x | 147 | 55% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.7% | -49.3% | -0.10 | -0.04 | 0.7x | 219 | 63% |
| MACD fast=17, slow=26, signal=18 |
-2.4% | -52.2% | -0.15 | -0.05 | 0.6x | 298 | 51% |
| ADX / DI 방향성 period=27, threshold=21 |
-0.8% | -23.7% | -0.24 | -0.03 | 0.8x | 36 | 8% |
| Buy and hold | 6.9% | -61.3% | 0.45 | 0.11 | 4.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 18-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 18-day average falls below the 183-day average