Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Long-Term Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Long-Term Bond ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.7%, drawdown -46.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -8.7%, Sharpe 0.20, 7% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 0.0%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=58, k=3.4 |
0.6% | -8.7% | 0.20 | 0.07 | 1.1x | 8 | 7% |
| SMA 크로스오버 fast=35, slow=138 |
0.6% | -23.3% | 0.11 | 0.02 | 1.1x | 34 | 49% |
| ROC 모멘텀 n=11, threshold=0.1 |
0.0% | -0.5% | 0.05 | 0.02 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=24, exitN=102 |
-0.2% | -36.2% | 0.03 | -0.01 | 1.0x | 38 | 78% |
| EMA 크로스오버 fast=19, slow=176 |
-0.2% | -32.1% | 0.02 | -0.00 | 1.0x | 42 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=20, mult=2.9 |
-0.3% | -16.3% | -0.02 | -0.02 | 1.0x | 62 | 21% |
| ADX / DI 방향성 period=52, threshold=19 |
-0.1% | -9.4% | -0.03 | -0.01 | 1.0x | 10 | 4% |
| Supertrend period=17, mult=5 |
-0.7% | -27.8% | -0.06 | -0.03 | 0.9x | 66 | 44% |
| MACD fast=24, slow=79, signal=24 |
-2.9% | -47.5% | -0.32 | -0.06 | 0.6x | 144 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.8% | -69.3% | -0.71 | -0.08 | 0.3x | 172 | 50% |
| Buy and hold | -0.7% | -46.3% | -0.00 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 58-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 58-day middle average