Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard Canadian Aggregate Bond Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Canadian Aggregate Bond Index ETF. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.8%, drawdown -24.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -13.7%, Sharpe 0.00, 45% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.0%, MDD -0.6%, exposure 0%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR -0.0%, MDD -0.6%, exposure 0%).
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=76, slow=222 |
-0.1% | -13.7% | 0.00 | -0.01 | 1.0x | 16 | 45% |
| Donchian 채널 돌파 entryN=153, exitN=122 |
-0.1% | -11.1% | -0.02 | -0.01 | 1.0x | 8 | 31% |
| ADX / DI 방향성 period=22, threshold=36 |
-0.0% | -1.8% | -0.12 | -0.02 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=18, k=3 |
-0.1% | -2.0% | -0.14 | -0.04 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=56, slow=214 |
-0.8% | -15.9% | -0.17 | -0.05 | 0.9x | 20 | 44% |
| ROC 모멘텀 n=88, threshold=0.09 |
-0.0% | -0.6% | -0.18 | -0.06 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=4 |
-1.1% | -15.7% | -0.49 | -0.07 | 0.9x | 22 | 9% |
| Supertrend period=29, mult=3.9 |
-2.8% | -33.4% | -0.70 | -0.08 | 0.7x | 88 | 50% |
| MACD fast=39, slow=69, signal=14 |
-4.3% | -48.1% | -1.09 | -0.09 | 0.5x | 126 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.5% | -48.6% | -1.09 | -0.09 | 0.5x | 122 | 50% |
| Buy and hold | -0.8% | -24.2% | -0.11 | -0.03 | 0.9x | 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 76-day average price crosses above the 222-day average
- Sell — Sell (to cash) when the 76-day average falls below the 222-day average