Trend-Following Backtester · Guide · backtest 한국어
etf · NL
VanEck World Equal Weight Screened UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck World Equal Weight Screened UCITS ETF. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -3.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR -1.6%, drawdown -77.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -2.0%, MDD -77.7%, Sharpe 0.50, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: SMA 크로스오버 — CAGR 5.2%, MDD -34.5%, exposure 68%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 0.0%p (CAGR 0.7%, MDD -3.0%, exposure 3%).
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=4, threshold=-0.08 |
-2.0% | -77.7% | 0.50 | -0.03 | 0.8x | 23 | 99% |
| SMA 크로스오버 fast=74, slow=216 |
5.2% | -34.5% | 0.45 | 0.15 | 1.9x | 15 | 68% |
| ADX / DI 방향성 period=18, threshold=34 |
0.7% | -3.0% | 0.42 | 0.24 | 1.1x | 4 | 3% |
| MACD fast=14, slow=23, signal=17 |
-10.7% | -95.4% | 0.30 | -0.11 | 0.2x | 200 | 52% |
| EMA 크로스오버 fast=59, slow=92 |
2.5% | -29.4% | 0.28 | 0.09 | 1.4x | 23 | 67% |
| Donchian 채널 돌파 entryN=105, exitN=65 |
-6.4% | -76.3% | 0.27 | -0.08 | 0.4x | 21 | 60% |
| Parabolic SAR step=0.045, maxStep=0.28 |
-34.2% | -99.6% | 0.16 | -0.34 | 0.0x | 450 | 57% |
| 볼린저 밴드 돌파 n=21, k=1.1 |
-21.8% | -96.4% | 0.16 | -0.23 | 0.0x | 198 | 50% |
| Supertrend period=15, mult=4.8 |
-40.4% | -99.9% | -0.10 | -0.40 | 0.0x | 69 | 60% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=4 |
-34.8% | -99.7% | -0.54 | -0.35 | 0.0x | 43 | 25% |
| Buy and hold | -1.6% | -77.7% | 0.50 | -0.02 | 0.8x | 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 4-day return is greater than -8%
- Sell — Sell when the 4-day return drops to -8% or below