Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Morningstar Wide Moat ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Morningstar Wide Moat ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -33.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.9%, MDD -22.9%, Sharpe 0.77, 76% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=34, slow=64 |
8.9% | -22.9% | 0.77 | 0.39 | 3.4x | 33 | 76% |
| Donchian 채널 돌파 entryN=84, exitN=56 |
6.7% | -22.6% | 0.68 | 0.30 | 2.5x | 23 | 63% |
| ROC 모멘텀 n=35, threshold=-0.04 |
8.7% | -26.9% | 0.67 | 0.32 | 3.3x | 107 | 87% |
| SMA 크로스오버 fast=25, slow=64 |
7.1% | -28.8% | 0.63 | 0.25 | 2.7x | 49 | 71% |
| Supertrend period=17, mult=5 |
5.7% | -20.1% | 0.55 | 0.28 | 2.2x | 53 | 66% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=14, mult=1.7 |
3.1% | -23.0% | 0.34 | 0.13 | 1.5x | 83 | 63% |
| 볼린저 밴드 돌파 n=54, k=0.7 |
2.7% | -21.8% | 0.31 | 0.12 | 1.5x | 117 | 63% |
| MACD fast=31, slow=57, signal=17 |
1.7% | -33.0% | 0.22 | 0.05 | 1.3x | 133 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.7% | -33.0% | 0.20 | 0.05 | 1.3x | 151 | 62% |
| ADX / DI 방향성 period=19, threshold=11 |
-2.1% | -35.4% | -0.14 | -0.06 | 0.7x | 239 | 58% |
| Buy and hold | 12.7% | -33.3% | 0.77 | 0.38 | 5.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 34-day EMA crosses above the 64-day EMA
- Sell — Sell when the 34-day EMA falls below the 64-day EMA