Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard Australian Property Securities Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Australian Property Securities Index ETF. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.4%, MDD -22.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.5%, drawdown -48.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.8%, MDD -30.7%, Sharpe 0.41, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 4.4%, MDD -22.6%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.07 |
5.8% | -30.7% | 0.41 | 0.19 | 2.5x | 17 | 99% |
| Donchian 채널 돌파 entryN=39, exitN=64 |
4.4% | -22.6% | 0.39 | 0.19 | 2.0x | 28 | 68% |
| ADX / DI 방향성 period=34, threshold=37 |
0.5% | -2.3% | 0.36 | 0.19 | 1.1x | 2 | 2% |
| Supertrend period=24, mult=5 |
3.0% | -22.1% | 0.29 | 0.14 | 1.6x | 46 | 60% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
0.2% | -2.4% | 0.21 | 0.09 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=34, slow=152 |
1.7% | -33.8% | 0.20 | 0.05 | 1.3x | 26 | 62% |
| SMA 크로스오버 fast=24, slow=164 |
1.2% | -39.1% | 0.16 | 0.03 | 1.2x | 44 | 59% |
| MACD fast=21, slow=53, signal=25 |
-2.1% | -35.4% | -0.11 | -0.06 | 0.7x | 152 | 54% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=33, mult=3.5 |
-1.3% | -34.4% | -0.12 | -0.04 | 0.8x | 46 | 25% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.1% | -43.2% | -0.19 | -0.07 | 0.6x | 142 | 55% |
| Buy and hold | 3.5% | -48.4% | 0.28 | 0.07 | 1.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -7%
- Sell — Sell when the 4-day return drops to -7% or below