Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard High Dividend Yield ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard High Dividend Yield ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.4%, MDD -22.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.1%, drawdown -58.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -22.3%, Sharpe 0.52, 77% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.6%, MDD -46.7%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 36.5%p (CAGR 5.4%, MDD -22.3%, exposure 77%).
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=57, exitN=83 |
5.4% | -22.3% | 0.52 | 0.24 | 2.8x | 25 | 77% |
| ROC 모멘텀 Hold-like · Exposure 97% n=41, threshold=-0.15 |
6.6% | -46.7% | 0.49 | 0.14 | 3.6x | 9 | 97% |
| EMA 크로스오버 fast=35, slow=90 |
4.5% | -26.6% | 0.47 | 0.17 | 2.4x | 37 | 73% |
| SMA 크로스오버 fast=28, slow=199 |
4.3% | -32.8% | 0.43 | 0.13 | 2.3x | 29 | 70% |
| 볼린저 밴드 돌파 n=76, k=3.1 |
0.9% | -10.6% | 0.30 | 0.08 | 1.2x | 6 | 6% |
| Supertrend period=14, mult=4.9 |
1.5% | -29.7% | 0.20 | 0.05 | 1.3x | 77 | 57% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=8, mult=2.4 |
-0.3% | -28.6% | -0.00 | -0.01 | 0.9x | 113 | 46% |
| ADX / DI 방향성 period=39, threshold=15 |
-0.6% | -16.0% | -0.14 | -0.04 | 0.9x | 48 | 10% |
| MACD fast=17, slow=26, signal=17 |
-2.7% | -44.7% | -0.19 | -0.06 | 0.6x | 263 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-3.4% | -54.0% | -0.24 | -0.06 | 0.5x | 297 | 62% |
| Buy and hold | 6.1% | -58.8% | 0.42 | 0.10 | 3.2x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 83 days