Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Vanguard FTSE Developed Europe UCITS ETF Accum EUR backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Developed Europe UCITS ETF Accum EUR. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.2%, MDD -16.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -35.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -16.1%, Sharpe 0.89, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 19.6%p (CAGR 10.2%, MDD -16.1%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=199 |
10.2% | -16.1% | 0.89 | 0.63 | 2.0x | 5 | 70% |
| EMA 크로스오버 fast=59, slow=188 |
10.0% | -16.1% | 0.88 | 0.62 | 2.0x | 3 | 73% |
| Donchian 채널 돌파 entryN=8, exitN=45 |
9.8% | -18.4% | 0.79 | 0.53 | 1.9x | 27 | 88% |
| 볼린저 밴드 돌파 n=77, k=2.9 |
2.7% | -4.1% | 0.68 | 0.66 | 1.2x | 2 | 12% |
| ROC 모멘텀 n=130, threshold=-0.02 |
6.1% | -23.9% | 0.57 | 0.26 | 1.5x | 27 | 75% |
| Supertrend period=21, mult=4.7 |
5.3% | -24.3% | 0.51 | 0.22 | 1.4x | 35 | 73% |
| ADX / DI 방향성 period=30, threshold=15 |
1.6% | -11.8% | 0.29 | 0.13 | 1.1x | 32 | 27% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=24, mult=4 |
1.0% | -20.1% | 0.17 | 0.05 | 1.1x | 25 | 40% |
| MACD fast=18, slow=47, signal=19 |
0.2% | -20.5% | 0.07 | 0.01 | 1.0x | 78 | 51% |
| Parabolic SAR step=0.035, maxStep=0.08 |
-2.8% | -29.9% | -0.21 | -0.09 | 0.8x | 139 | 66% |
| Buy and hold | 10.4% | -35.7% | 0.67 | 0.29 | 2.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 199-day average
- Sell — Sell (to cash) when the 55-day average falls below the 199-day average