Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Vanguard S&P 500 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P 500 UCITS ETF. 0 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 11.2%, MDD -22.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -33.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -22.8%, Sharpe 0.87, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 10.9%p (CAGR 11.2%, MDD -22.8%, exposure 84%).
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=17, exitN=42 |
11.2% | -22.8% | 0.87 | 0.49 | 2.5x | 27 | 84% |
| MACD fast=26, slow=87, signal=32 |
7.4% | -15.3% | 0.77 | 0.49 | 1.9x | 48 | 55% |
| EMA 크로스오버 fast=19, slow=191 |
8.2% | -24.0% | 0.69 | 0.34 | 2.0x | 11 | 74% |
| SMA 크로스오버 fast=13, slow=47 |
7.5% | -15.6% | 0.68 | 0.48 | 1.9x | 45 | 70% |
| Supertrend period=29, mult=3.4 |
6.6% | -18.8% | 0.61 | 0.35 | 1.7x | 66 | 69% |
| ROC 모멘텀 n=118, threshold=0.01 |
6.0% | -25.0% | 0.57 | 0.24 | 1.7x | 33 | 69% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=3.4 |
3.3% | -17.4% | 0.43 | 0.19 | 1.3x | 36 | 45% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
2.7% | -18.5% | 0.36 | 0.15 | 1.3x | 30 | 40% |
| ADX / DI 방향성 period=27, threshold=34 |
0.3% | -1.8% | 0.24 | 0.17 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.4% | -25.9% | 0.18 | 0.05 | 1.1x | 90 | 65% |
| Buy and hold | 13.0% | -33.6% | 0.81 | 0.39 | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 42 days