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.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.8%, drawdown -35.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.3%, MDD -31.2%, Sharpe 0.31, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=47, threshold=-0.07 |
3.3% | -31.2% | 0.31 | 0.10 | 1.7x | 59 | 93% |
| Donchian 채널 돌파 entryN=9, exitN=134 |
3.2% | -27.1% | 0.31 | 0.12 | 1.7x | 33 | 93% |
| 볼린저 밴드 돌파 n=57, k=2.8 |
0.4% | -9.8% | 0.15 | 0.04 | 1.1x | 13 | 10% |
| SMA 크로스오버 fast=42, slow=193 |
0.4% | -27.9% | 0.09 | 0.02 | 1.1x | 27 | 66% |
| EMA 크로스오버 fast=55, slow=198 |
0.1% | -26.5% | 0.06 | 0.00 | 1.0x | 25 | 69% |
| Supertrend period=15, mult=5 |
-0.2% | -25.4% | 0.03 | -0.01 | 1.0x | 65 | 61% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=29, mult=3.9 |
-0.1% | -16.9% | 0.02 | -0.00 | 1.0x | 39 | 29% |
| ADX / DI 방향성 period=35, threshold=16 |
-0.5% | -20.9% | -0.05 | -0.02 | 0.9x | 30 | 17% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-7.0% | -75.1% | -0.68 | -0.09 | 0.3x | 169 | 57% |
| MACD fast=14, slow=27, signal=16 |
-8.3% | -80.7% | -0.87 | -0.10 | 0.2x | 284 | 50% |
| Buy and hold | 4.8% | -35.8% | 0.39 | 0.13 | 2.2x | 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 47-day return is greater than -7%
- Sell — Sell when the 47-day return drops to -7% or below