Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard U.S. Momentum Factor ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard U.S. Momentum Factor ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -36.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -20.2%, Sharpe 0.62, 65% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=68, exitN=73 |
9.1% | -20.2% | 0.62 | 0.45 | 2.1x | 13 | 65% |
| EMA 크로스오버 fast=10, slow=196 |
8.6% | -34.9% | 0.58 | 0.25 | 2.0x | 21 | 68% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=13, mult=2.6 |
6.2% | -15.2% | 0.57 | 0.41 | 1.7x | 44 | 42% |
| SMA 크로스오버 fast=10, slow=160 |
8.2% | -33.1% | 0.55 | 0.25 | 1.9x | 23 | 67% |
| MACD fast=30, slow=32, signal=23 |
5.3% | -31.6% | 0.45 | 0.17 | 1.5x | 76 | 52% |
| 볼린저 밴드 돌파 n=28, k=2.1 |
2.9% | -10.8% | 0.36 | 0.27 | 1.3x | 42 | 28% |
| ROC 모멘텀 n=71, threshold=-0.03 |
4.7% | -35.6% | 0.35 | 0.13 | 1.5x | 59 | 76% |
| Supertrend period=8, mult=4.2 |
3.2% | -18.3% | 0.31 | 0.18 | 1.3x | 50 | 52% |
| ADX / DI 방향성 period=25, threshold=21 |
0.9% | -16.2% | 0.20 | 0.05 | 1.1x | 10 | 6% |
| Parabolic SAR step=0.015, maxStep=0.2 |
0.4% | -40.3% | 0.10 | 0.01 | 1.0x | 162 | 61% |
| Buy and hold | 13.3% | -36.9% | 0.65 | 0.36 | 2.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 68 days
- Sell — Sell when price breaks below the lowest low of the last 73 days