Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Total Bond Market ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Total Bond Market ETF. 4 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 0.1%, MDD -3.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.2%, drawdown -24.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -3.1%, Sharpe 0.13, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 0.1%, MDD -3.1%, exposure 5%).
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=24 |
0.1% | -3.1% | 0.13 | 0.04 | 1.0x | 10 | 5% |
| ROC 모멘텀 Hold-like · Exposure 99% n=61, threshold=-0.09 |
-0.2% | -25.3% | -0.02 | -0.01 | 1.0x | 3 | 99% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
-0.0% | -4.2% | -0.02 | -0.01 | 1.0x | 8 | 4% |
| SMA 크로스오버 fast=46, slow=182 |
-0.2% | -11.2% | -0.05 | -0.02 | 1.0x | 26 | 54% |
| EMA 크로스오버 fast=53, slow=125 |
-0.5% | -18.4% | -0.11 | -0.03 | 0.9x | 28 | 55% |
| Donchian 채널 돌파 entryN=41, exitN=75 |
-0.8% | -20.6% | -0.20 | -0.04 | 0.8x | 42 | 62% |
| Supertrend period=37, mult=5 |
-1.1% | -24.6% | -0.28 | -0.04 | 0.8x | 64 | 53% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=25, mult=3.7 |
-0.5% | -10.7% | -0.37 | -0.05 | 0.9x | 24 | 7% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.3% | -57.2% | -1.22 | -0.08 | 0.4x | 160 | 51% |
| MACD fast=23, slow=70, signal=21 |
-4.7% | -61.4% | -1.26 | -0.08 | 0.4x | 184 | 48% |
| Buy and hold | -0.2% | -24.0% | -0.02 | -0.01 | 1.0x | 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 ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)