Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard MSCI Index International Shares ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard MSCI Index International Shares ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -23.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.7%, MDD -23.2%, Sharpe 0.79, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 99% n=10, threshold=-0.09 |
9.7% | -23.2% | 0.79 | 0.42 | 3.0x | 9 | 99% |
| Donchian 채널 돌파 entryN=27, exitN=70 |
7.6% | -16.6% | 0.74 | 0.46 | 2.4x | 23 | 80% |
| Supertrend period=21, mult=5 |
6.6% | -12.8% | 0.73 | 0.52 | 2.1x | 47 | 65% |
| EMA 크로스오버 fast=29, slow=34 |
6.9% | -16.1% | 0.71 | 0.43 | 2.2x | 37 | 72% |
| SMA 크로스오버 fast=6, slow=156 |
5.1% | -21.2% | 0.57 | 0.24 | 1.8x | 35 | 71% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=14, mult=2.9 |
2.1% | -11.3% | 0.36 | 0.18 | 1.3x | 60 | 39% |
| MACD fast=29, slow=50, signal=40 |
2.4% | -20.0% | 0.34 | 0.12 | 1.3x | 78 | 52% |
| 볼린저 밴드 돌파 n=40, k=1.3 |
2.1% | -23.6% | 0.30 | 0.09 | 1.3x | 86 | 54% |
| ADX / DI 방향성 period=25, threshold=39 |
0.3% | -2.1% | 0.30 | 0.13 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.7% | -22.0% | 0.23 | 0.08 | 1.2x | 102 | 64% |
| Buy and hold | 10.3% | -23.4% | 0.81 | 0.44 | 3.2x | 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 10-day return is greater than -9%
- Sell — Sell when the 10-day return drops to -9% or below