Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Extended Duration Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Extended Duration Treasury ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.4%, MDD -14.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.7%, drawdown -66.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.4%, MDD -14.2%, Sharpe 0.35, 4% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 52.5%p (CAGR 2.4%, MDD -14.2%, exposure 4%).
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=24, k=3.2 |
2.4% | -14.2% | 0.35 | 0.17 | 1.5x | 14 | 4% |
| EMA 크로스오버 fast=58, slow=132 |
2.1% | -41.2% | 0.21 | 0.05 | 1.5x | 22 | 42% |
| SMA 크로스오버 fast=28, slow=79 |
2.0% | -49.7% | 0.20 | 0.04 | 1.4x | 60 | 48% |
| Supertrend period=14, mult=5 |
1.2% | -43.0% | 0.16 | 0.03 | 1.2x | 60 | 42% |
| Donchian 채널 돌파 entryN=114, exitN=75 |
0.8% | -37.2% | 0.13 | 0.02 | 1.2x | 22 | 39% |
| MACD fast=22, slow=57, signal=31 |
0.8% | -30.6% | 0.13 | 0.03 | 1.2x | 124 | 49% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=21, mult=3 |
0.6% | -30.9% | 0.11 | 0.02 | 1.1x | 54 | 11% |
| ADX / DI 방향성 period=33, threshold=16 |
-0.1% | -29.2% | 0.05 | -0.00 | 1.0x | 58 | 16% |
| ROC 모멘텀 n=91, threshold=0.02 |
-1.9% | -54.5% | -0.04 | -0.03 | 0.7x | 170 | 42% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-5.7% | -71.7% | -0.30 | -0.08 | 0.3x | 286 | 48% |
| Buy and hold | -2.7% | -66.7% | -0.01 | -0.04 | 0.6x | 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 24-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 24-day middle average