Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard FTSE Emerging Markets Shares ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Emerging Markets Shares ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.0%, MDD -22.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.0%, drawdown -29.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -22.9%, Sharpe 0.48, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 6.2%p (CAGR 5.0%, MDD -22.9%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=132 |
5.0% | -22.9% | 0.48 | 0.22 | 1.9x | 19 | 66% |
| Donchian 채널 돌파 entryN=45, exitN=57 |
4.3% | -17.7% | 0.43 | 0.24 | 1.7x | 19 | 67% |
| EMA 크로스오버 fast=60, slow=80 |
4.3% | -19.4% | 0.43 | 0.22 | 1.7x | 17 | 69% |
| ROC 모멘텀 n=143, threshold=-0.04 |
3.3% | -26.5% | 0.32 | 0.12 | 1.5x | 55 | 76% |
| Supertrend period=7, mult=4.9 |
2.4% | -15.2% | 0.29 | 0.16 | 1.4x | 29 | 57% |
| 볼린저 밴드 돌파 n=75, k=2.2 |
1.6% | -13.8% | 0.25 | 0.12 | 1.2x | 28 | 31% |
| ADX / DI 방향성 period=20, threshold=37 |
0.6% | -7.0% | 0.25 | 0.09 | 1.1x | 8 | 5% |
| MACD fast=27, slow=46, signal=37 |
-0.3% | -30.3% | 0.02 | -0.01 | 1.0x | 94 | 54% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=24, mult=3 |
-0.1% | -5.9% | -0.02 | -0.01 | 1.0x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-6.1% | -58.6% | -0.54 | -0.10 | 0.4x | 113 | 57% |
| Buy and hold | 5.0% | -29.1% | 0.40 | 0.17 | 1.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 132-day average
- Sell — Sell (to cash) when the 53-day average falls below the 132-day average