Trend-Following Backtester · Guide · backtest 한국어

etf · AU

Vanguard Australian Shares Index ETF backtest

10 trend-following strategies were compared on the full daily history of Vanguard Australian Shares Index ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 2009-05-01 ~ 2026-07-31daily bars 4,362 (17.2 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 4.7%, drawdown -35.8%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.2%, MDD -31.2%, Sharpe 0.30, 93% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=47, threshold=-0.07
3.2%-31.2%0.300.101.7x5993%
Donchian 채널 돌파
entryN=9, exitN=134
3.1%-27.1%0.300.121.7x3393%
볼린저 밴드 돌파
n=57, k=2.8
0.5%-9.8%0.160.051.1x129%
SMA 크로스오버
fast=42, slow=193
0.3%-27.9%0.080.011.1x2766%
EMA 크로스오버
fast=55, slow=198
-0.0%-26.5%0.05-0.001.0x2569%
Keltner 채널 돌파
emaPeriod=69, atrPeriod=29, mult=3.9
0.0%-16.9%0.030.001.0x3828%
Supertrend
period=15, mult=5
-0.3%-25.4%0.02-0.011.0x6561%
ADX / DI 방향성
period=35, threshold=16
-0.5%-20.9%-0.05-0.020.9x3017%
Parabolic SAR
step=0.005, maxStep=0.16
-7.1%-75.1%-0.69-0.090.3x16956%
MACD
fast=14, slow=27, signal=16
-8.4%-80.7%-0.88-0.100.2x28350%
Buy and hold4.7%-35.8%0.380.132.2x1100%
1x 2010 2013 2016 2019 2022 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -9% -18% -27% -36% 2010 2013 2016 2019 2022 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -31.2% (2015-03-19 → 2016-02-23), recovered after 2,091 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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