Trend-Following Backtester · Guide · backtest 한국어

etf · US

Vanguard Ultra-Short Bond ETF backtest

10 trend-following strategies were compared on the full daily history of Vanguard Ultra-Short Bond ETF. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2021-04-07 ~ 2026-07-31daily bars 1,336 (5.3 years)Costs 0.5%Venue ARCXMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR -0.2%, drawdown -3.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.0%, MDD -1.2%, Sharpe -0.02, 56% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=160, exitN=146
-0.0%-1.2%-0.02-0.021.0x256%
ROC 모멘텀
n=175, threshold=-0.01
-0.1%-2.4%-0.09-0.051.0x373%
SMA 크로스오버
fast=42, slow=186
-0.5%-2.4%-0.37-0.191.0x651%
볼린저 밴드 돌파
n=54, k=3
-0.2%-1.0%-0.40-0.191.0x23%
EMA 크로스오버
fast=41, slow=198
-0.5%-3.2%-0.42-0.161.0x647%
Keltner 채널 돌파
emaPeriod=13, atrPeriod=17, mult=2.9
-0.3%-1.4%-0.59-0.191.0x20%
ADX / DI 방향성
period=33, threshold=36
-0.2%-1.2%-0.67-0.191.0x21%
Supertrend
period=25, mult=4.9
-2.8%-14.1%-1.91-0.200.9x2639%
Parabolic SAR
step=0.005, maxStep=0.2
-3.9%-18.9%-2.32-0.200.8x3839%
MACD
fast=19, slow=65, signal=23
-6.9%-31.6%-3.35-0.220.7x6546%
Buy and hold-0.2%-3.2%-0.15-0.071.0x1100%
1x 2022 2023 2024 2025 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -1% -3% -4% -5% 2022 2023 2024 2025 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -1.2% (2023-03-23 → 2023-10-03), recovered after 295 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next