Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VanEck Australian Subordinated Debt ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Australian Subordinated Debt ETF. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 0.3%, MDD -2.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.1%, drawdown -11.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.5%, MDD -2.9%, Sharpe 0.23, 83% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 8.1%p (CAGR 0.3%, MDD -2.3%, exposure 65%).
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=17, exitN=83 |
0.5% | -2.9% | 0.23 | 0.16 | 1.0x | 11 | 83% |
| SMA 크로스오버 fast=47, slow=131 |
0.3% | -2.3% | 0.22 | 0.14 | 1.0x | 6 | 65% |
| EMA 크로스오버 fast=33, slow=120 |
0.2% | -2.6% | 0.16 | 0.09 | 1.0x | 7 | 63% |
| Supertrend period=26, mult=5 |
-0.1% | -7.6% | 0.00 | -0.01 | 1.0x | 17 | 71% |
| ROC 모멘텀 n=65, threshold=0.03 |
-0.0% | -0.8% | -0.06 | -0.04 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=39, threshold=17 |
-0.6% | -9.1% | -0.17 | -0.07 | 1.0x | 12 | 15% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
-0.2% | -1.2% | -0.44 | -0.15 | 1.0x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=20, mult=4 |
-0.2% | -1.4% | -0.61 | -0.15 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.5% | -23.1% | -1.18 | -0.15 | 0.8x | 55 | 52% |
| MACD fast=39, slow=102, signal=40 |
-2.5% | -18.0% | -1.44 | -0.14 | 0.8x | 35 | 38% |
| Buy and hold | 0.1% | -11.0% | 0.04 | 0.01 | 1.0x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 83 days