Trend-Following Backtester · Guide · backtest 한국어
etf · GB
VinaCapital Vietnam Opportunity Fund Limited AccumUSD backtest
10 trend-following strategies were compared on the full daily history of VinaCapital Vietnam Opportunity Fund Limited AccumUSD. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.5%, MDD -17.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.6%, drawdown -86.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.5%, MDD -17.7%, Sharpe 1.03, 25% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 68.7%p (CAGR 11.5%, MDD -17.7%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=2.4 |
11.5% | -17.7% | 1.03 | 0.65 | 11.9x | 146 | 25% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=21, mult=3.6 |
5.3% | -27.9% | 0.65 | 0.19 | 3.3x | 42 | 14% |
| Donchian 채널 돌파 entryN=87, exitN=56 |
8.8% | -48.6% | 0.61 | 0.18 | 6.8x | 30 | 54% |
| SMA 크로스오버 fast=63, slow=155 |
8.7% | -44.9% | 0.58 | 0.19 | 6.7x | 38 | 61% |
| ADX / DI 방향성 period=11, threshold=23 |
7.0% | -35.7% | 0.53 | 0.20 | 4.7x | 278 | 38% |
| MACD fast=10, slow=24, signal=9 |
7.1% | -66.1% | 0.47 | 0.11 | 4.8x | 398 | 50% |
| Supertrend period=26, mult=5 |
6.0% | -47.3% | 0.44 | 0.13 | 3.8x | 72 | 51% |
| EMA 크로스오버 fast=13, slow=79 |
4.8% | -56.7% | 0.35 | 0.08 | 2.9x | 102 | 60% |
| Parabolic SAR step=0.015, maxStep=0.14 |
4.6% | -55.3% | 0.34 | 0.08 | 2.8x | 344 | 54% |
| ROC 모멘텀 n=128, threshold=0.03 |
4.2% | -47.5% | 0.33 | 0.09 | 2.6x | 182 | 54% |
| Buy and hold | 6.6% | -86.4% | 0.36 | 0.08 | 4.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 15-day middle average