Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Vanguard MSCI International Small Cos Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard MSCI International Small Cos Index ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.2%, MDD -14.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.5%, drawdown -32.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -18.9%, Sharpe 0.50, 79% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 13.1%p (CAGR 5.2%, MDD -14.1%, exposure 82%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=52 |
5.5% | -18.9% | 0.50 | 0.29 | 1.5x | 21 | 79% |
| Supertrend period=35, mult=4.9 |
4.8% | -15.8% | 0.49 | 0.31 | 1.4x | 34 | 59% |
| ROC 모멘텀 n=53, threshold=-0.04 |
5.2% | -14.1% | 0.47 | 0.37 | 1.5x | 35 | 82% |
| ADX / DI 방향성 period=29, threshold=38 |
1.7% | -4.7% | 0.42 | 0.35 | 1.1x | 2 | 8% |
| SMA 크로스오버 fast=12, slow=176 |
3.6% | -17.0% | 0.38 | 0.22 | 1.3x | 15 | 65% |
| EMA 크로스오버 fast=10, slow=210 |
2.5% | -19.4% | 0.29 | 0.13 | 1.2x | 17 | 61% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.1% | -23.3% | 0.04 | -0.00 | 1.0x | 62 | 58% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
-0.3% | -24.2% | 0.02 | -0.01 | 1.0x | 56 | 52% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=10, mult=1.7 |
-1.9% | -23.4% | -0.15 | -0.08 | 0.9x | 64 | 53% |
| MACD fast=18, slow=19, signal=27 |
-4.2% | -40.1% | -0.37 | -0.11 | 0.7x | 104 | 48% |
| Buy and hold | 5.5% | -32.0% | 0.41 | 0.17 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 52 days