Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck BDC Income ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck BDC Income ETF. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -2.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.6%, drawdown -64.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.6%, MDD -2.9%, Sharpe 0.37, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 1.4%, MDD -14.1%, exposure 3%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 61.6%p (CAGR 0.1%, MDD -2.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=27, mult=2.5 |
0.6% | -2.9% | 0.37 | 0.19 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=13, threshold=0.07 |
1.4% | -14.1% | 0.28 | 0.10 | 1.2x | 38 | 3% |
| 볼린저 밴드 돌파 n=21, k=3 |
0.1% | -2.3% | 0.19 | 0.06 | 1.0x | 4 | 2% |
| SMA 크로스오버 fast=22, slow=165 |
0.4% | -23.0% | 0.09 | 0.02 | 1.1x | 24 | 46% |
| Donchian 채널 돌파 entryN=98, exitN=41 |
0.1% | -19.2% | 0.05 | 0.00 | 1.0x | 20 | 30% |
| EMA 크로스오버 fast=45, slow=166 |
-0.4% | -23.9% | -0.00 | -0.02 | 0.9x | 18 | 43% |
| ADX / DI 방향성 period=30, threshold=16 |
-0.7% | -15.6% | -0.11 | -0.05 | 0.9x | 44 | 11% |
| Supertrend period=37, mult=4.2 |
-3.0% | -55.5% | -0.17 | -0.05 | 0.7x | 70 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.2% | -48.5% | -0.33 | -0.09 | 0.6x | 116 | 53% |
| MACD fast=16, slow=17, signal=14 |
-5.4% | -55.0% | -0.41 | -0.10 | 0.5x | 224 | 49% |
| Buy and hold | -3.6% | -64.6% | -0.07 | -0.06 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 8-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average