Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Digital Transformation ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Digital Transformation ETF. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 27.4%, MDD -33.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.0%, drawdown -92.6%).
Sharpe leader (same as main): MACD — CAGR 42.7%, MDD -59.2%, Sharpe 0.95, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 51.7%p higher than buy and hold, while drawdown improves by 33.4%p (CAGR 27.4%, MDD -33.0%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=49, signal=19 |
42.7% | -59.2% | 0.95 | 0.72 | 6.8x | 41 | 50% |
| 볼린저 밴드 돌파 n=30, k=0.7 |
39.4% | -36.3% | 0.95 | 1.09 | 6.0x | 49 | 43% |
| Donchian 채널 돌파 entryN=16, exitN=10 |
36.8% | -42.5% | 0.92 | 0.86 | 5.4x | 39 | 42% |
| Parabolic SAR step=0.005, maxStep=0.2 |
31.4% | -52.7% | 0.81 | 0.59 | 4.3x | 45 | 44% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=27, mult=0.8 |
27.4% | -33.0% | 0.76 | 0.83 | 3.7x | 51 | 41% |
| Supertrend period=27, mult=3.1 |
24.3% | -50.2% | 0.70 | 0.48 | 3.2x | 38 | 43% |
| ROC 모멘텀 n=21, threshold=0.02 |
23.6% | -41.2% | 0.69 | 0.57 | 3.1x | 89 | 45% |
| ADX / DI 방향성 period=35, threshold=7 |
19.8% | -48.0% | 0.61 | 0.41 | 2.6x | 47 | 49% |
| EMA 크로스오버 fast=27, slow=57 |
11.2% | -50.3% | 0.46 | 0.22 | 1.8x | 18 | 48% |
| SMA 크로스오버 fast=22, slow=120 |
10.2% | -48.7% | 0.44 | 0.21 | 1.7x | 12 | 48% |
| Buy and hold | -9.0% | -92.6% | 0.23 | -0.10 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/49) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line