Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VanEck MSCI International Small Companies Quality ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck MSCI International Small Companies Quality 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 6.8%, MDD -15.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -27.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -15.5%, Sharpe 0.57, 79% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.9%, MDD -23.1%, exposure 88%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 12.3%p (CAGR 6.8%, MDD -15.5%, exposure 79%).
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=19, exitN=59 |
6.8% | -15.5% | 0.57 | 0.44 | 1.4x | 14 | 79% |
| Supertrend period=22, mult=4.8 |
5.7% | -13.5% | 0.56 | 0.42 | 1.4x | 28 | 54% |
| ROC 모멘텀 n=81, threshold=-0.1 |
6.9% | -23.1% | 0.53 | 0.30 | 1.4x | 19 | 88% |
| Parabolic SAR step=0.01, maxStep=0.12 |
5.1% | -15.3% | 0.50 | 0.33 | 1.3x | 65 | 56% |
| 볼린저 밴드 돌파 n=31, k=2.2 |
3.4% | -10.3% | 0.47 | 0.33 | 1.2x | 24 | 30% |
| EMA 크로스오버 fast=36, slow=160 |
4.6% | -14.3% | 0.43 | 0.32 | 1.3x | 8 | 66% |
| SMA 크로스오버 fast=46, slow=134 |
4.0% | -14.9% | 0.39 | 0.27 | 1.2x | 11 | 64% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=11, mult=3.8 |
1.2% | -10.3% | 0.25 | 0.11 | 1.1x | 14 | 17% |
| MACD fast=19, slow=57, signal=8 |
1.9% | -21.1% | 0.23 | 0.09 | 1.1x | 65 | 51% |
| ADX / DI 방향성 period=38, threshold=14 |
-0.8% | -20.2% | -0.05 | -0.04 | 1.0x | 24 | 37% |
| Buy and hold | 8.2% | -27.8% | 0.56 | 0.29 | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 59 days