Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Natural Resources ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Natural Resources ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -51.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.1%, MDD -38.0%, Sharpe 0.36, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.9%, MDD -45.7%, exposure 88%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=100 |
4.1% | -38.0% | 0.36 | 0.11 | 2.0x | 54 | 58% |
| Donchian 채널 돌파 entryN=11, exitN=65 |
4.9% | -45.7% | 0.35 | 0.11 | 2.3x | 57 | 88% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
1.0% | -9.8% | 0.29 | 0.11 | 1.2x | 6 | 5% |
| EMA 크로스오버 fast=57, slow=74 |
2.5% | -46.6% | 0.25 | 0.05 | 1.5x | 45 | 62% |
| ADX / DI 방향성 period=46, threshold=12 |
1.7% | -23.5% | 0.23 | 0.07 | 1.3x | 58 | 17% |
| ROC 모멘텀 n=78, threshold=0.1 |
1.1% | -26.9% | 0.16 | 0.04 | 1.2x | 128 | 20% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=1.7 |
-0.0% | -42.8% | 0.06 | -0.00 | 1.0x | 122 | 47% |
| Supertrend period=28, mult=4.4 |
-0.9% | -56.5% | 0.02 | -0.02 | 0.9x | 110 | 62% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.5% | -56.8% | -0.03 | -0.03 | 0.8x | 153 | 57% |
| MACD fast=11, slow=40, signal=12 |
-2.8% | -62.0% | -0.14 | -0.05 | 0.6x | 297 | 51% |
| Buy and hold | 6.7% | -51.5% | 0.40 | 0.13 | 3.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 26-day average falls below the 100-day average