Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Growth ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -23.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -51.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -33.0%, Sharpe 0.69, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 18.3%p (CAGR 8.5%, MDD -23.9%, exposure 76%).
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=39, exitN=63 |
8.7% | -33.0% | 0.69 | 0.26 | 6.6x | 43 | 77% |
| SMA 크로스오버 fast=7, slow=173 |
8.5% | -23.9% | 0.68 | 0.36 | 6.3x | 49 | 76% |
| EMA 크로스오버 fast=21, slow=147 |
8.4% | -27.8% | 0.65 | 0.30 | 6.1x | 33 | 77% |
| Supertrend period=25, mult=4.4 |
6.1% | -26.9% | 0.56 | 0.23 | 3.8x | 103 | 64% |
| ROC 모멘텀 n=120, threshold=-0.01 |
5.7% | -27.6% | 0.48 | 0.21 | 3.5x | 147 | 76% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=2.2 |
2.4% | -34.9% | 0.31 | 0.07 | 1.7x | 137 | 49% |
| 볼린저 밴드 돌파 n=37, k=1.4 |
1.6% | -34.7% | 0.21 | 0.04 | 1.4x | 173 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.7% | -39.3% | 0.20 | 0.04 | 1.5x | 231 | 64% |
| MACD fast=19, slow=71, signal=23 |
0.9% | -42.8% | 0.13 | 0.02 | 1.2x | 217 | 53% |
| ADX / DI 방향성 period=30, threshold=18 |
-0.2% | -18.1% | -0.02 | -0.01 | 0.9x | 56 | 12% |
| Buy and hold | 11.0% | -51.4% | 0.62 | 0.21 | 10.6x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 63 days