Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard Global Aggregate Bond Index Fund (Hedged) backtest
10 trend-following strategies were compared on the full daily history of Vanguard Global Aggregate Bond Index Fund (Hedged). 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -1.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.8%, drawdown -29.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -1.7%, Sharpe 0.21, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR -0.1%, MDD -1.4%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=33 |
0.1% | -1.7% | 0.21 | 0.07 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=100, slow=259 |
0.1% | -8.9% | 0.04 | 0.01 | 1.0x | 4 | 42% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
-0.0% | -2.6% | -0.07 | -0.02 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=16, mult=4 |
-0.4% | -10.1% | -0.17 | -0.04 | 1.0x | 12 | 19% |
| ROC 모멘텀 n=7, threshold=0.04 |
-0.1% | -1.4% | -0.20 | -0.09 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=107, exitN=22 |
-0.5% | -10.8% | -0.24 | -0.05 | 1.0x | 12 | 14% |
| SMA 크로스오버 fast=17, slow=218 |
-1.0% | -15.2% | -0.29 | -0.07 | 0.9x | 16 | 43% |
| Supertrend period=20, mult=5 |
-3.6% | -27.3% | -1.00 | -0.13 | 0.7x | 44 | 45% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.1% | -37.1% | -1.26 | -0.14 | 0.6x | 68 | 45% |
| MACD fast=17, slow=22, signal=22 |
-6.0% | -42.2% | -1.38 | -0.14 | 0.6x | 96 | 50% |
| Buy and hold | -2.8% | -29.4% | -0.48 | -0.09 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)