Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Fallen Angel High Yield Bond ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Fallen Angel High Yield Bond ETF. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -2.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.9%, drawdown -29.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -2.4%, Sharpe 0.78, 6% exposure.
CAGR reference leader: Supertrend — CAGR 1.5%, MDD -20.2%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 1.4%, MDD -2.4%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=28 |
1.4% | -2.4% | 0.78 | 0.56 | 1.2x | 4 | 6% |
| Supertrend period=30, mult=4.7 |
1.5% | -20.2% | 0.29 | 0.08 | 1.2x | 43 | 56% |
| ROC 모멘텀 n=4, threshold=0.1 |
0.3% | -0.5% | 0.28 | 0.61 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=14, exitN=48 |
0.4% | -23.3% | 0.09 | 0.02 | 1.1x | 51 | 76% |
| EMA 크로스오버 fast=24, slow=151 |
0.3% | -14.2% | 0.09 | 0.02 | 1.0x | 24 | 60% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=15, mult=3.7 |
0.1% | -11.8% | 0.05 | 0.01 | 1.0x | 28 | 25% |
| SMA 크로스오버 fast=16, slow=145 |
0.1% | -14.9% | 0.05 | 0.01 | 1.0x | 32 | 59% |
| 볼린저 밴드 돌파 n=72, k=2.3 |
-0.4% | -10.9% | -0.09 | -0.03 | 0.9x | 22 | 19% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.4% | -33.4% | -0.38 | -0.07 | 0.7x | 114 | 53% |
| MACD fast=17, slow=52, signal=38 |
-3.5% | -41.3% | -0.59 | -0.09 | 0.6x | 126 | 49% |
| Buy and hold | 0.9% | -29.6% | 0.15 | 0.03 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)