Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard FTSE Canada All Cap Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Canada All Cap Index ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.3%, MDD -21.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.6%, drawdown -37.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -21.5%, Sharpe 0.91, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 9.3%, MDD -21.5%, exposure 85%).
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=20, exitN=79 |
9.3% | -21.5% | 0.91 | 0.43 | 3.2x | 21 | 85% |
| EMA 크로스오버 fast=22, slow=81 |
5.6% | -22.8% | 0.65 | 0.24 | 2.0x | 33 | 71% |
| SMA 크로스오버 fast=10, slow=122 |
5.2% | -21.2% | 0.63 | 0.25 | 1.9x | 39 | 69% |
| ROC 모멘텀 n=83, threshold=-0.01 |
4.9% | -21.1% | 0.59 | 0.23 | 1.9x | 85 | 71% |
| Supertrend period=21, mult=3.6 |
2.5% | -35.0% | 0.32 | 0.07 | 1.4x | 99 | 70% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=27, mult=1.8 |
1.7% | -29.9% | 0.26 | 0.06 | 1.2x | 89 | 55% |
| ADX / DI 방향성 period=27, threshold=32 |
0.2% | -2.3% | 0.18 | 0.09 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=25, k=3 |
0.1% | -1.4% | 0.13 | 0.06 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.4% | -27.6% | -0.01 | -0.02 | 0.9x | 131 | 63% |
| MACD fast=14, slow=47, signal=15 |
-2.9% | -39.5% | -0.33 | -0.07 | 0.7x | 181 | 49% |
| Buy and hold | 8.6% | -37.3% | 0.64 | 0.23 | 2.9x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 79 days