Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Intermediate-Term Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Intermediate-Term Corporate Bond ETF. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -3.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.4%, drawdown -24.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -3.1%, Sharpe 0.38, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 0.8%, MDD -24.2%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 21.1%p (CAGR 0.4%, MDD -3.1%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=81, k=3.5 |
0.4% | -3.1% | 0.38 | 0.14 | 1.1x | 4 | 7% |
| ADX / DI 방향성 period=36, threshold=28 |
0.2% | -4.1% | 0.19 | 0.04 | 1.0x | 6 | 4% |
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.04 |
0.8% | -24.2% | 0.17 | 0.03 | 1.1x | 3 | 100% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=16, mult=3.9 |
0.1% | -7.2% | 0.09 | 0.02 | 1.0x | 18 | 9% |
| Donchian 채널 돌파 entryN=44, exitN=50 |
0.1% | -11.5% | 0.05 | 0.01 | 1.0x | 40 | 54% |
| EMA 크로스오버 fast=101, slow=196 |
0.1% | -21.5% | 0.04 | 0.00 | 1.0x | 14 | 60% |
| Supertrend period=24, mult=4.7 |
0.0% | -16.8% | 0.03 | 0.00 | 1.0x | 56 | 53% |
| SMA 크로스오버 fast=42, slow=165 |
-0.8% | -20.5% | -0.17 | -0.04 | 0.9x | 26 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.3% | -52.7% | -1.12 | -0.08 | 0.5x | 162 | 51% |
| MACD fast=17, slow=55, signal=19 |
-4.7% | -55.5% | -1.21 | -0.09 | 0.4x | 184 | 49% |
| Buy and hold | 0.4% | -24.2% | 0.10 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 81-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 81-day middle average