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 12.4%, drawdown -33.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.6%, MDD -22.9%, Sharpe 0.74, 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 |
8.6% | -22.9% | 0.74 | 0.37 | 3.2x | 33 | 76% |
| ROC 모멘텀 n=35, threshold=-0.04 |
8.3% | -26.9% | 0.65 | 0.31 | 3.1x | 107 | 87% |
| Donchian 채널 돌파 entryN=84, exitN=56 |
6.3% | -22.6% | 0.65 | 0.28 | 2.4x | 23 | 63% |
| SMA 크로스오버 fast=25, slow=64 |
6.7% | -28.8% | 0.60 | 0.23 | 2.5x | 49 | 71% |
| Supertrend period=17, mult=5 |
5.3% | -20.1% | 0.52 | 0.27 | 2.1x | 53 | 66% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=14, mult=1.7 |
2.7% | -23.0% | 0.31 | 0.12 | 1.5x | 83 | 63% |
| 볼린저 밴드 돌파 n=54, k=0.7 |
2.3% | -21.8% | 0.27 | 0.11 | 1.4x | 117 | 63% |
| MACD fast=31, slow=57, signal=17 |
1.3% | -33.0% | 0.18 | 0.04 | 1.2x | 133 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.3% | -33.0% | 0.17 | 0.04 | 1.2x | 151 | 62% |
| ADX / DI 방향성 period=19, threshold=11 |
-2.5% | -35.4% | -0.18 | -0.07 | 0.7x | 239 | 58% |
| Buy and hold | 12.4% | -33.3% | 0.75 | 0.37 | 5.3x | 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