Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard FTSE Emerging Markets ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Emerging Markets ETF. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.8%, MDD -32.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.0%, drawdown -68.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.2%, MDD -38.3%, Sharpe 0.44, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 4.8%, MDD -32.3%, exposure 60%).
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=50, exitN=95 |
6.2% | -38.3% | 0.44 | 0.16 | 3.6x | 29 | 70% |
| SMA 크로스오버 fast=52, slow=88 |
4.8% | -32.3% | 0.37 | 0.15 | 2.7x | 55 | 60% |
| EMA 크로스오버 fast=19, slow=76 |
4.2% | -39.7% | 0.34 | 0.11 | 2.4x | 74 | 60% |
| Supertrend period=28, mult=5 |
3.4% | -45.8% | 0.30 | 0.07 | 2.0x | 87 | 58% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
0.7% | -6.1% | 0.22 | 0.12 | 1.2x | 10 | 5% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=23, mult=3.4 |
1.2% | -39.4% | 0.16 | 0.03 | 1.3x | 74 | 38% |
| ROC 모멘텀 n=118, threshold=-0.04 |
0.3% | -60.4% | 0.10 | 0.00 | 1.1x | 169 | 70% |
| MACD fast=26, slow=53, signal=19 |
-0.1% | -58.5% | 0.08 | -0.00 | 1.0x | 196 | 51% |
| Parabolic SAR step=0.005, maxStep=0.42 |
-2.2% | -65.7% | -0.06 | -0.03 | 0.6x | 194 | 57% |
| ADX / DI 방향성 period=25, threshold=31 |
-0.4% | -9.9% | -0.24 | -0.04 | 0.9x | 4 | 0% |
| Buy and hold | 4.0% | -68.3% | 0.28 | 0.06 | 2.3x | 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 50 days
- Sell — Sell when price breaks below the lowest low of the last 95 days