Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Extended Market ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Extended Market ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.7%, MDD -26.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -59.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -28.4%, Sharpe 0.62, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 31.0%p (CAGR 7.7%, MDD -26.5%, exposure 71%).
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=8, slow=189 |
7.9% | -28.4% | 0.62 | 0.28 | 6.4x | 53 | 71% |
| EMA 크로스오버 fast=16, slow=154 |
7.7% | -26.5% | 0.61 | 0.29 | 6.2x | 47 | 71% |
| Donchian 채널 돌파 entryN=84, exitN=72 |
7.3% | -22.7% | 0.61 | 0.32 | 5.7x | 37 | 65% |
| ROC 모멘텀 n=156, threshold=-0.06 |
7.2% | -41.3% | 0.53 | 0.17 | 5.5x | 97 | 80% |
| Supertrend period=22, mult=4.7 |
4.8% | -27.7% | 0.41 | 0.17 | 3.2x | 99 | 65% |
| ADX / DI 방향성 period=35, threshold=20 |
0.9% | -19.1% | 0.25 | 0.05 | 1.2x | 24 | 6% |
| 볼린저 밴드 돌파 n=55, k=1.5 |
2.0% | -30.1% | 0.24 | 0.07 | 1.6x | 134 | 47% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=2.1 |
1.1% | -30.9% | 0.16 | 0.04 | 1.3x | 170 | 48% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.5% | -44.3% | 0.11 | 0.01 | 1.1x | 244 | 61% |
| MACD fast=18, slow=70, signal=19 |
-0.7% | -43.7% | 0.02 | -0.02 | 0.8x | 264 | 51% |
| Buy and hold | 8.6% | -59.4% | 0.48 | 0.14 | 7.6x | 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 8-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 8-day average falls below the 189-day average