Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Large-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Large-Cap ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -21.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -56.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -21.1%, Sharpe 0.66, 75% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.8%, MDD -54.1%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 34.8%p (CAGR 7.3%, MDD -21.1%, exposure 75%).
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=13, slow=190 |
7.3% | -21.1% | 0.66 | 0.34 | 4.8x | 39 | 75% |
| EMA 크로스오버 fast=55, slow=117 |
7.1% | -34.6% | 0.61 | 0.21 | 4.7x | 25 | 77% |
| ROC 모멘텀 Hold-like · Exposure 99% n=13, threshold=-0.12 |
7.8% | -54.1% | 0.53 | 0.15 | 5.5x | 19 | 99% |
| Donchian 채널 돌파 entryN=38, exitN=91 |
5.9% | -35.0% | 0.52 | 0.17 | 3.6x | 37 | 82% |
| Supertrend period=14, mult=4.9 |
3.9% | -27.9% | 0.43 | 0.14 | 2.3x | 90 | 62% |
| 볼린저 밴드 돌파 n=38, k=3 |
0.2% | -3.7% | 0.18 | 0.06 | 1.0x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=23, mult=1.7 |
0.4% | -28.5% | 0.09 | 0.02 | 1.1x | 150 | 61% |
| ADX / DI 방향성 period=37, threshold=23 |
-0.1% | -8.5% | -0.09 | -0.02 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.7% | -60.7% | -0.10 | -0.03 | 0.7x | 237 | 64% |
| MACD fast=23, slow=55, signal=21 |
-1.6% | -48.2% | -0.10 | -0.03 | 0.7x | 236 | 53% |
| Buy and hold | 9.0% | -56.0% | 0.55 | 0.16 | 6.9x | 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 13-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 13-day average falls below the 190-day average