Trend-Following Backtester · Guide · backtest 한국어
etf · NL
Vanguard FTSE Developed Europe UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Developed Europe UCITS ETF. 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 5.4%, drawdown -35.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.7%, MDD -27.5%, Sharpe 0.50, 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=19, threshold=-0.13 |
6.7% | -27.5% | 0.50 | 0.24 | 2.4x | 5 | 99% |
| 볼린저 밴드 돌파 n=52, k=3 |
1.1% | -4.6% | 0.47 | 0.24 | 1.2x | 4 | 6% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=25, mult=3.2 |
0.6% | -2.0% | 0.44 | 0.30 | 1.1x | 4 | 2% |
| Donchian 채널 돌파 entryN=104, exitN=50 |
2.2% | -13.4% | 0.31 | 0.16 | 1.3x | 23 | 42% |
| SMA 크로스오버 fast=56, slow=135 |
1.8% | -43.8% | 0.21 | 0.04 | 1.3x | 29 | 64% |
| ADX / DI 방향성 period=19, threshold=36 |
0.3% | -3.5% | 0.19 | 0.08 | 1.0x | 4 | 1% |
| EMA 크로스오버 fast=49, slow=159 |
1.1% | -29.6% | 0.15 | 0.04 | 1.2x | 17 | 67% |
| Supertrend period=25, mult=3.5 |
0.2% | -28.0% | 0.07 | 0.01 | 1.0x | 107 | 60% |
| MACD fast=23, slow=73, signal=30 |
-3.4% | -43.6% | -0.33 | -0.08 | 0.6x | 120 | 52% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-7.2% | -65.4% | -0.65 | -0.11 | 0.4x | 303 | 58% |
| Buy and hold | 5.4% | -35.6% | 0.40 | 0.15 | 2.0x | 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 19-day return is greater than -13%
- Sell — Sell when the 19-day return drops to -13% or below