Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Mortgage-Backed Securities ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Mortgage-Backed Securities ETF. 5 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 -1.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.5%, drawdown -22.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR -0.3%, MDD -8.9%, Sharpe -0.08, 50% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -1.1%, exposure 3%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 13.7%p (CAGR -0.1%, MDD -1.1%, exposure 3%).
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=70, slow=277 |
-0.3% | -8.9% | -0.08 | -0.03 | 1.0x | 16 | 50% |
| ROC 모멘텀 Hold-like · Exposure 98% n=53, threshold=-0.08 |
-0.5% | -22.7% | -0.09 | -0.02 | 0.9x | 3 | 98% |
| ADX / DI 방향성 period=36, threshold=28 |
-0.1% | -1.1% | -0.10 | -0.05 | 1.0x | 4 | 3% |
| SMA 크로스오버 fast=57, slow=196 |
-0.5% | -9.5% | -0.14 | -0.05 | 0.9x | 20 | 51% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
-0.3% | -5.8% | -0.19 | -0.05 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=25, mult=4 |
-0.4% | -6.0% | -0.27 | -0.06 | 0.9x | 2 | 0% |
| Donchian 채널 돌파 entryN=35, exitN=77 |
-1.2% | -24.0% | -0.29 | -0.05 | 0.8x | 34 | 67% |
| Supertrend period=21, mult=4.6 |
-1.3% | -21.7% | -0.37 | -0.06 | 0.8x | 42 | 58% |
| MACD fast=36, slow=64, signal=41 |
-2.6% | -38.8% | -0.70 | -0.07 | 0.6x | 90 | 47% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.7% | -55.0% | -1.33 | -0.08 | 0.5x | 140 | 48% |
| Buy and hold | -0.5% | -22.6% | -0.08 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 277-day EMA
- Sell — Sell when the 70-day EMA falls below the 277-day EMA