Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VanEck FTSE Global Infrastructure (Hedged) ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck FTSE Global Infrastructure (Hedged) ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.1%, drawdown -36.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.4%, MDD -15.7%, Sharpe 0.35, 50% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=85, exitN=66 |
2.4% | -15.7% | 0.35 | 0.15 | 1.3x | 11 | 50% |
| ADX / DI 방향성 period=38, threshold=29 |
0.8% | -5.5% | 0.27 | 0.15 | 1.1x | 4 | 8% |
| 볼린저 밴드 돌파 n=20, k=3 |
0.4% | -5.8% | 0.17 | 0.06 | 1.0x | 6 | 4% |
| SMA 크로스오버 fast=73, slow=135 |
1.1% | -38.2% | 0.15 | 0.03 | 1.1x | 15 | 67% |
| ROC 모멘텀 n=119, threshold=-0.04 |
0.5% | -34.1% | 0.10 | 0.02 | 1.1x | 57 | 79% |
| EMA 크로스오버 fast=16, slow=208 |
-0.0% | -33.7% | 0.05 | -0.00 | 1.0x | 21 | 62% |
| Supertrend period=8, mult=4.9 |
-0.5% | -27.6% | -0.01 | -0.02 | 0.9x | 41 | 68% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=2.4 |
-0.7% | -10.0% | -0.20 | -0.07 | 0.9x | 26 | 8% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.2% | -34.9% | -0.28 | -0.09 | 0.7x | 91 | 61% |
| MACD fast=14, slow=42, signal=13 |
-3.8% | -35.6% | -0.37 | -0.11 | 0.7x | 148 | 51% |
| Buy and hold | 4.1% | -36.4% | 0.34 | 0.11 | 1.5x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 66 days