Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard Diversified High Growth Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Diversified High Growth Index ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.6%, MDD -13.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -28.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.8%, MDD -20.1%, Sharpe 0.56, 98% 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 0.9%p higher than buy and hold, while drawdown improves by 8.3%p (CAGR 4.6%, MDD -13.6%, exposure 79%).
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 98% n=11, threshold=-0.07 |
5.8% | -20.1% | 0.56 | 0.29 | 1.6x | 7 | 98% |
| Donchian 채널 돌파 entryN=29, exitN=66 |
4.6% | -13.6% | 0.55 | 0.34 | 1.5x | 15 | 79% |
| SMA 크로스오버 fast=10, slow=133 |
3.8% | -10.2% | 0.51 | 0.38 | 1.4x | 17 | 71% |
| EMA 크로스오버 fast=21, slow=85 |
3.7% | -13.9% | 0.48 | 0.27 | 1.4x | 19 | 74% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=21, mult=4 |
0.4% | -2.9% | 0.28 | 0.13 | 1.0x | 4 | 4% |
| Supertrend period=23, mult=4.8 |
1.4% | -17.0% | 0.21 | 0.08 | 1.1x | 40 | 67% |
| MACD fast=38, slow=74, signal=31 |
0.2% | -26.6% | 0.07 | 0.01 | 1.0x | 54 | 52% |
| ADX / DI 방향성 period=12, threshold=38 |
0.1% | -7.6% | 0.06 | 0.01 | 1.0x | 10 | 7% |
| 볼린저 밴드 돌파 n=58, k=2.4 |
-1.7% | -21.0% | -0.38 | -0.08 | 0.9x | 24 | 24% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-5.4% | -40.7% | -0.66 | -0.13 | 0.6x | 177 | 59% |
| Buy and hold | 4.9% | -28.3% | 0.46 | 0.17 | 1.5x | 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 11-day return is greater than -7%
- Sell — Sell when the 11-day return drops to -7% or below