Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard International Dividend Appreciation ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard International Dividend Appreciation ETF. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.2%, drawdown -34.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.1%, MDD -2.5%, Sharpe 0.66, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.7%, MDD -34.2%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=26, k=3.2 |
1.1% | -2.5% | 0.66 | 0.46 | 1.1x | 2 | 4% |
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.11 |
6.7% | -34.2% | 0.51 | 0.20 | 2.0x | 3 | 99% |
| Donchian 채널 돌파 entryN=34, exitN=68 |
4.6% | -22.8% | 0.46 | 0.20 | 1.6x | 21 | 70% |
| EMA 크로스오버 fast=46, slow=51 |
4.0% | -19.7% | 0.42 | 0.20 | 1.5x | 25 | 68% |
| SMA 크로스오버 fast=30, slow=82 |
3.9% | -21.7% | 0.42 | 0.18 | 1.5x | 35 | 63% |
| ADX / DI 방향성 period=37, threshold=23 |
0.5% | -3.2% | 0.30 | 0.15 | 1.1x | 4 | 4% |
| Supertrend period=18, mult=5 |
1.2% | -29.1% | 0.17 | 0.04 | 1.1x | 43 | 60% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=29, mult=3 |
0.1% | -17.3% | 0.05 | 0.00 | 1.0x | 45 | 36% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.1% | -34.8% | -0.17 | -0.06 | 0.8x | 99 | 60% |
| MACD fast=17, slow=73, signal=18 |
-2.3% | -36.8% | -0.21 | -0.06 | 0.8x | 107 | 51% |
| Buy and hold | 6.2% | -34.2% | 0.46 | 0.18 | 1.9x | 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 26-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 26-day middle average