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. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.9%, MDD -22.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.4%, drawdown -33.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.9%, MDD -21.2%, Sharpe 0.98, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 12.4%p (CAGR 11.9%, MDD -22.4%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=10, threshold=-0.08 |
14.9% | -21.2% | 0.98 | 0.70 | 3.4x | 13 | 98% |
| Donchian 채널 돌파 entryN=15, exitN=41 |
11.9% | -22.4% | 0.92 | 0.53 | 2.7x | 27 | 84% |
| EMA 크로스오버 fast=18, slow=77 |
9.4% | -24.6% | 0.82 | 0.38 | 2.2x | 21 | 74% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=10, mult=1.4 |
8.2% | -15.0% | 0.81 | 0.55 | 2.0x | 39 | 66% |
| SMA 크로스오버 fast=12, slow=91 |
8.6% | -23.4% | 0.76 | 0.37 | 2.1x | 27 | 72% |
| Supertrend period=33, mult=4.1 |
7.6% | -17.9% | 0.70 | 0.42 | 1.9x | 49 | 71% |
| 볼린저 밴드 돌파 n=59, k=0.9 |
4.8% | -17.6% | 0.52 | 0.27 | 1.5x | 57 | 61% |
| ADX / DI 방향성 period=24, threshold=35 |
0.4% | -1.8% | 0.31 | 0.23 | 1.0x | 2 | 2% |
| MACD fast=10, slow=56, signal=17 |
2.6% | -15.4% | 0.30 | 0.17 | 1.3x | 127 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.9% | -25.9% | 0.23 | 0.07 | 1.2x | 89 | 65% |
| Buy and hold | 13.4% | -33.6% | 0.84 | 0.40 | 3.1x | 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 10-day return is greater than -8%
- Sell — Sell when the 10-day return drops to -8% or below