Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Short-Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Short-Term Treasury ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -2.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.2%, drawdown -8.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR -0.2%, MDD -4.2%, Sharpe -0.18, 50% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -2.0%, exposure 4%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 3.8%p (CAGR -0.1%, MDD -2.0%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=72, slow=343 |
-0.2% | -4.2% | -0.18 | -0.04 | 1.0x | 10 | 50% |
| SMA 크로스오버 fast=50, slow=344 |
-0.2% | -4.8% | -0.21 | -0.05 | 1.0x | 12 | 49% |
| ROC 모멘텀 Hold-like · Exposure 97% n=111, threshold=-0.04 |
-0.3% | -9.3% | -0.21 | -0.04 | 0.9x | 3 | 97% |
| ADX / DI 방향성 period=30, threshold=47 |
-0.1% | -2.0% | -0.27 | -0.04 | 1.0x | 4 | 4% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
-0.1% | -2.4% | -0.33 | -0.06 | 1.0x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=17, mult=4 |
-0.4% | -7.2% | -0.52 | -0.06 | 0.9x | 18 | 7% |
| Donchian 채널 돌파 entryN=74, exitN=117 |
-0.7% | -12.2% | -0.54 | -0.06 | 0.9x | 22 | 54% |
| Supertrend period=27, mult=5 |
-1.2% | -18.7% | -0.93 | -0.06 | 0.8x | 40 | 40% |
| MACD fast=31, slow=43, signal=59 |
-3.1% | -41.2% | -1.91 | -0.07 | 0.6x | 101 | 47% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.6% | -45.5% | -2.18 | -0.08 | 0.5x | 110 | 43% |
| Buy and hold | -0.2% | -8.1% | -0.14 | -0.03 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 72-day EMA crosses above the 343-day EMA
- Sell — Sell when the 72-day EMA falls below the 343-day EMA