Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard ESG U.S. Stock ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard ESG U.S. Stock ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -13.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.2%, drawdown -33.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -13.5%, Sharpe 1.02, 71% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.0%, MDD -29.4%, exposure 83%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 20.3%p (CAGR 12.7%, MDD -13.5%, exposure 71%).
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=6, slow=172 |
12.7% | -13.5% | 1.02 | 0.94 | 2.6x | 13 | 71% |
| EMA 크로스오버 fast=13, slow=95 |
12.3% | -21.8% | 0.97 | 0.56 | 2.5x | 17 | 75% |
| Donchian 채널 돌파 entryN=25, exitN=64 |
13.0% | -29.4% | 0.93 | 0.44 | 2.6x | 15 | 83% |
| Supertrend period=23, mult=5 |
9.6% | -20.5% | 0.83 | 0.47 | 2.1x | 29 | 62% |
| ROC 모멘텀 n=47, threshold=-0.03 |
9.8% | -32.0% | 0.76 | 0.31 | 2.1x | 53 | 80% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=8, mult=2.7 |
4.9% | -19.4% | 0.56 | 0.25 | 1.5x | 37 | 49% |
| MACD fast=29, slow=64, signal=16 |
4.9% | -27.9% | 0.49 | 0.18 | 1.5x | 68 | 54% |
| 볼린저 밴드 돌파 n=38, k=1.4 |
3.8% | -28.9% | 0.43 | 0.13 | 1.3x | 53 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
4.4% | -26.5% | 0.41 | 0.16 | 1.4x | 121 | 64% |
| ADX / DI 방향성 period=17, threshold=29 |
-0.4% | -10.4% | -0.09 | -0.04 | 1.0x | 22 | 7% |
| Buy and hold | 13.2% | -33.9% | 0.71 | 0.39 | 2.7x | 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 6-day average price crosses above the 172-day average
- Sell — Sell (to cash) when the 6-day average falls below the 172-day average