Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Vanguard FTSE Global All Cap ex Canada Index ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Global All Cap ex Canada Index ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -27.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.1%, MDD -22.1%, Sharpe 0.80, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=20, threshold=-0.11 |
10.1% | -22.1% | 0.80 | 0.46 | 3.2x | 5 | 99% |
| EMA 크로스오버 fast=11, slow=119 |
7.1% | -18.4% | 0.73 | 0.38 | 2.3x | 27 | 75% |
| SMA 크로스오버 fast=7, slow=121 |
6.1% | -18.7% | 0.65 | 0.33 | 2.0x | 33 | 72% |
| Donchian 채널 돌파 entryN=20, exitN=38 |
5.8% | -19.1% | 0.60 | 0.30 | 2.0x | 47 | 76% |
| Supertrend period=29, mult=5 |
4.1% | -24.5% | 0.47 | 0.17 | 1.6x | 53 | 68% |
| 볼린저 밴드 돌파 n=59, k=0.8 |
1.6% | -23.9% | 0.22 | 0.07 | 1.2x | 90 | 62% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=1.2 |
0.8% | -27.2% | 0.13 | 0.03 | 1.1x | 106 | 64% |
| ADX / DI 방향성 period=39, threshold=7 |
0.3% | -23.7% | 0.08 | 0.01 | 1.0x | 148 | 61% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-0.0% | -32.3% | 0.04 | -0.00 | 1.0x | 198 | 61% |
| MACD fast=15, slow=57, signal=11 |
-2.3% | -36.0% | -0.22 | -0.06 | 0.8x | 184 | 52% |
| Buy and hold | 10.4% | -27.3% | 0.73 | 0.38 | 3.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 20-day return is greater than -11%
- Sell — Sell when the 20-day return drops to -11% or below