Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard Australian Shares High Yield ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Australian Shares High Yield ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.2%, MDD -26.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.6%, drawdown -43.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.2%, MDD -26.4%, Sharpe 0.40, 89% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 4.2%, MDD -26.4%, exposure 89%).
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=130, threshold=-0.09 |
4.2% | -26.4% | 0.40 | 0.16 | 1.9x | 23 | 89% |
| ADX / DI 방향성 period=34, threshold=27 |
0.7% | -4.6% | 0.38 | 0.15 | 1.1x | 2 | 2% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
2.0% | -9.4% | 0.37 | 0.21 | 1.3x | 21 | 20% |
| Donchian 채널 돌파 entryN=18, exitN=78 |
3.5% | -29.3% | 0.35 | 0.12 | 1.7x | 33 | 84% |
| SMA 크로스오버 fast=48, slow=182 |
0.8% | -36.5% | 0.13 | 0.02 | 1.1x | 25 | 65% |
| EMA 크로스오버 fast=45, slow=145 |
0.6% | -30.4% | 0.11 | 0.02 | 1.1x | 27 | 65% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=27, mult=4 |
0.5% | -17.8% | 0.11 | 0.03 | 1.1x | 30 | 23% |
| Supertrend period=27, mult=5 |
-2.7% | -45.9% | -0.22 | -0.06 | 0.7x | 69 | 61% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-6.1% | -65.6% | -0.57 | -0.09 | 0.4x | 139 | 58% |
| MACD fast=14, slow=17, signal=17 |
-6.2% | -63.7% | -0.60 | -0.10 | 0.4x | 259 | 50% |
| Buy and hold | 3.6% | -43.0% | 0.31 | 0.08 | 1.7x | 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 130-day return is greater than -9%
- Sell — Sell when the 130-day return drops to -9% or below