Trend-Following Backtester · Guide · backtest 한국어
etf · NL
VanEck Vectors ETFs NV - Morningstar Dev. Mrkts. Div. Ldrs. backtest
10 trend-following strategies were compared on the full daily history of VanEck Vectors ETFs NV - Morningstar Dev. Mrkts. Div. Ldrs.. 1 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
1 of 10 beat buy and hold (CAGR 8.0%, drawdown -36.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -17.7%, Sharpe 0.79, 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=9, threshold=-0.08 |
9.9% | -17.7% | 0.79 | 0.56 | 2.6x | 7 | 99% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=28, mult=4 |
4.2% | -8.1% | 0.66 | 0.51 | 1.5x | 17 | 32% |
| Supertrend period=28, mult=4.7 |
5.8% | -13.2% | 0.59 | 0.44 | 1.8x | 33 | 71% |
| SMA 크로스오버 fast=56, slow=90 |
4.9% | -24.9% | 0.54 | 0.20 | 1.6x | 29 | 64% |
| Donchian 채널 돌파 entryN=76, exitN=52 |
4.1% | -18.1% | 0.52 | 0.23 | 1.5x | 21 | 52% |
| EMA 크로스오버 fast=50, slow=101 |
4.4% | -26.7% | 0.48 | 0.17 | 1.6x | 19 | 69% |
| 볼린저 밴드 돌파 n=52, k=3.3 |
0.9% | -3.9% | 0.47 | 0.24 | 1.1x | 2 | 4% |
| ADX / DI 방향성 period=23, threshold=39 |
0.2% | -3.8% | 0.11 | 0.04 | 1.0x | 4 | 4% |
| MACD fast=13, slow=85, signal=10 |
-0.4% | -25.2% | -0.00 | -0.02 | 1.0x | 139 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.1% | -34.6% | -0.27 | -0.09 | 0.7x | 105 | 59% |
| Buy and hold | 8.0% | -36.6% | 0.60 | 0.22 | 2.2x | 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 9-day return is greater than -8%
- Sell — Sell when the 9-day return drops to -8% or below