Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard Growth ETF Portfolio backtest
10 trend-following strategies were compared on the full daily history of Vanguard Growth ETF Portfolio. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.3%, MDD -11.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.0%, drawdown -25.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.3%, MDD -11.4%, Sharpe 0.85, 75% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.1%, MDD -19.1%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 14.0%p (CAGR 6.3%, MDD -11.4%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=8, slow=105 |
6.3% | -11.4% | 0.85 | 0.55 | 1.7x | 23 | 75% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.08 |
9.1% | -19.1% | 0.83 | 0.48 | 2.1x | 7 | 99% |
| SMA 크로스오버 fast=6, slow=166 |
6.4% | -12.7% | 0.83 | 0.50 | 1.7x | 15 | 72% |
| Donchian 채널 돌파 entryN=24, exitN=81 |
6.5% | -18.7% | 0.76 | 0.35 | 1.7x | 15 | 87% |
| Supertrend period=20, mult=4.3 |
4.3% | -17.2% | 0.63 | 0.25 | 1.4x | 41 | 68% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=1.6 |
1.4% | -16.3% | 0.26 | 0.09 | 1.1x | 71 | 57% |
| ADX / DI 방향성 period=28, threshold=29 |
0.1% | -2.0% | 0.12 | 0.06 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
0.1% | -17.2% | 0.05 | 0.01 | 1.0x | 82 | 57% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-1.0% | -18.7% | -0.09 | -0.05 | 0.9x | 121 | 63% |
| MACD fast=22, slow=90, signal=18 |
-1.0% | -24.2% | -0.12 | -0.04 | 0.9x | 88 | 51% |
| Buy and hold | 8.0% | -25.4% | 0.68 | 0.31 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 105-day EMA
- Sell — Sell when the 8-day EMA falls below the 105-day EMA