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 7.9%, MDD -15.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -27.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -15.5%, Sharpe 0.64, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 12.3%p (CAGR 7.9%, MDD -15.5%, exposure 80%).
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=18, exitN=59 |
7.9% | -15.5% | 0.64 | 0.51 | 1.5x | 13 | 80% |
| Supertrend period=17, mult=4.5 |
6.0% | -14.1% | 0.57 | 0.42 | 1.4x | 30 | 58% |
| Parabolic SAR step=0.01, maxStep=0.38 |
5.7% | -15.3% | 0.55 | 0.38 | 1.4x | 62 | 56% |
| SMA 크로스오버 fast=25, slow=250 |
5.9% | -13.5% | 0.55 | 0.44 | 1.4x | 5 | 61% |
| 볼린저 밴드 돌파 n=29, k=2.1 |
4.3% | -10.5% | 0.54 | 0.41 | 1.3x | 26 | 32% |
| ROC 모멘텀 n=60, threshold=-0.03 |
5.5% | -17.5% | 0.48 | 0.32 | 1.3x | 25 | 76% |
| EMA 크로스오버 fast=49, slow=138 |
5.0% | -14.5% | 0.46 | 0.35 | 1.3x | 7 | 67% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=8, mult=3.3 |
1.4% | -7.2% | 0.31 | 0.19 | 1.1x | 16 | 15% |
| MACD fast=11, slow=42, signal=18 |
1.2% | -22.5% | 0.17 | 0.06 | 1.1x | 64 | 51% |
| ADX / DI 방향성 period=38, threshold=23 |
-0.3% | -11.6% | -0.07 | -0.03 | 1.0x | 6 | 10% |
| Buy and hold | 9.0% | -27.8% | 0.60 | 0.32 | 1.6x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 59 days