Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VanEck Australian Equal Weight ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Australian Equal Weight 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 5.4%, drawdown -39.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.3%, MDD -19.6%, Sharpe 0.26, 69% 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=37, exitN=59 |
2.3% | -19.6% | 0.26 | 0.12 | 1.3x | 29 | 69% |
| SMA 크로스오버 fast=35, slow=184 |
1.8% | -24.1% | 0.22 | 0.08 | 1.3x | 19 | 69% |
| EMA 크로스오버 fast=39, slow=200 |
1.7% | -24.4% | 0.21 | 0.07 | 1.2x | 18 | 71% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=14, mult=4 |
0.2% | -2.8% | 0.14 | 0.06 | 1.0x | 2 | 1% |
| Supertrend period=21, mult=4.7 |
0.2% | -29.7% | 0.07 | 0.01 | 1.0x | 55 | 64% |
| ADX / DI 방향성 period=32, threshold=24 |
0.0% | -3.6% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=117, threshold=-0.03 |
-1.3% | -40.1% | -0.05 | -0.03 | 0.9x | 97 | 79% |
| MACD fast=38, slow=49, signal=34 |
-2.8% | -37.7% | -0.25 | -0.07 | 0.7x | 94 | 48% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
-0.3% | -4.0% | -0.34 | -0.08 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-5.7% | -51.7% | -0.49 | -0.11 | 0.5x | 173 | 55% |
| Buy and hold | 5.4% | -39.6% | 0.41 | 0.14 | 1.9x | 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 37 days
- Sell — Sell when price breaks below the lowest low of the last 59 days