Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard S&P 500 Index ETF (CAD-hedged) backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P 500 Index ETF (CAD-hedged). 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.1%, drawdown -35.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -29.8%, Sharpe 0.78, 90% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=77 |
9.7% | -29.8% | 0.78 | 0.32 | 3.5x | 23 | 90% |
| EMA 크로스오버 fast=39, slow=42 |
7.4% | -25.7% | 0.69 | 0.29 | 2.7x | 39 | 80% |
| SMA 크로스오버 fast=8, slow=190 |
6.8% | -22.3% | 0.64 | 0.30 | 2.5x | 27 | 78% |
| ROC 모멘텀 n=48, threshold=-0.09 |
7.9% | -35.4% | 0.62 | 0.22 | 2.8x | 51 | 94% |
| Supertrend period=11, mult=5 |
4.7% | -22.8% | 0.56 | 0.21 | 1.9x | 61 | 61% |
| Parabolic SAR step=0.005, maxStep=0.02 |
4.5% | -25.7% | 0.47 | 0.18 | 1.8x | 72 | 73% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=10, mult=2.9 |
1.2% | -29.0% | 0.18 | 0.04 | 1.2x | 72 | 50% |
| 볼린저 밴드 돌파 n=29, k=3 |
0.2% | -4.2% | 0.18 | 0.05 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=39, threshold=22 |
-0.1% | -10.4% | -0.04 | -0.01 | 1.0x | 6 | 3% |
| MACD fast=17, slow=49, signal=16 |
-0.8% | -32.9% | -0.05 | -0.02 | 0.9x | 168 | 52% |
| Buy and hold | 12.1% | -35.8% | 0.77 | 0.34 | 4.8x | 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 77 days