Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Russell 1000 ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Russell 1000 ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.5%, MDD -27.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -34.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.5%, MDD -27.0%, Sharpe 0.85, 87% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.6%, MDD -30.9%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 7.7%p (CAGR 10.5%, MDD -27.0%, exposure 87%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=61 |
10.5% | -27.0% | 0.85 | 0.39 | 4.9x | 35 | 87% |
| ROC 모멘텀 Hold-like · Exposure 99% n=17, threshold=-0.12 |
11.6% | -30.9% | 0.78 | 0.37 | 5.7x | 15 | 99% |
| SMA 크로스오버 fast=12, slow=230 |
8.4% | -23.0% | 0.75 | 0.37 | 3.6x | 23 | 78% |
| Supertrend period=25, mult=5 |
6.7% | -19.6% | 0.67 | 0.34 | 2.8x | 65 | 69% |
| EMA 크로스오버 fast=32, slow=126 |
7.4% | -23.1% | 0.66 | 0.32 | 3.1x | 23 | 80% |
| 볼린저 밴드 돌파 n=14, k=3 |
0.1% | -1.7% | 0.21 | 0.07 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.6% | -30.3% | 0.20 | 0.05 | 1.3x | 161 | 64% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=28, mult=3.9 |
0.5% | -28.2% | 0.11 | 0.02 | 1.1x | 61 | 47% |
| MACD fast=19, slow=47, signal=19 |
-0.9% | -34.5% | -0.04 | -0.03 | 0.9x | 188 | 53% |
| ADX / DI 방향성 period=29, threshold=25 |
-0.4% | -14.0% | -0.18 | -0.03 | 0.9x | 10 | 3% |
| Buy and hold | 12.7% | -34.7% | 0.78 | 0.37 | 6.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 61 days