Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Russell 2000 ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Russell 2000 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 8.6%, MDD -33.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -42.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -33.5%, Sharpe 0.57, 83% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 8.9%p (CAGR 8.6%, MDD -33.5%, exposure 83%).
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=24, exitN=73 |
8.6% | -33.5% | 0.57 | 0.26 | 3.7x | 31 | 83% |
| EMA 크로스오버 fast=38, slow=106 |
5.7% | -34.0% | 0.45 | 0.17 | 2.4x | 29 | 71% |
| ROC 모멘텀 n=49, threshold=-0.08 |
6.1% | -49.7% | 0.43 | 0.12 | 2.6x | 85 | 88% |
| SMA 크로스오버 fast=44, slow=111 |
5.1% | -38.1% | 0.40 | 0.13 | 2.2x | 31 | 67% |
| Supertrend period=28, mult=4.8 |
4.7% | -30.9% | 0.39 | 0.15 | 2.1x | 59 | 65% |
| ADX / DI 방향성 period=22, threshold=30 |
0.5% | -7.4% | 0.22 | 0.07 | 1.1x | 6 | 2% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.4% | -34.9% | 0.10 | 0.01 | 1.1x | 152 | 59% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=27, mult=3.9 |
0.3% | -14.3% | 0.09 | 0.02 | 1.0x | 14 | 5% |
| MACD fast=13, slow=51, signal=17 |
-0.1% | -36.8% | 0.06 | -0.00 | 1.0x | 206 | 50% |
| 볼린저 밴드 돌파 n=31, k=3.3 |
-0.2% | -11.3% | -0.07 | -0.02 | 1.0x | 6 | 2% |
| Buy and hold | 10.0% | -42.4% | 0.55 | 0.24 | 4.5x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 73 days