Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard S&P Mid-Cap 400 ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P Mid-Cap 400 ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.7%, MDD -30.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -42.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -30.2%, Sharpe 0.69, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 12.3%p (CAGR 9.7%, MDD -30.2%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=23, exitN=86 |
9.7% | -30.2% | 0.69 | 0.32 | 4.4x | 23 | 88% |
| ROC 모멘텀 n=48, threshold=-0.03 |
6.4% | -35.5% | 0.51 | 0.18 | 2.7x | 118 | 82% |
| EMA 크로스오버 fast=39, slow=94 |
5.7% | -23.0% | 0.49 | 0.25 | 2.4x | 29 | 75% |
| ADX / DI 방향성 period=26, threshold=31 |
0.6% | -1.6% | 0.43 | 0.34 | 1.1x | 2 | 1% |
| Supertrend period=26, mult=5 |
4.7% | -21.3% | 0.42 | 0.22 | 2.1x | 62 | 71% |
| SMA 크로스오버 fast=45, slow=133 |
4.7% | -36.8% | 0.41 | 0.13 | 2.1x | 25 | 72% |
| 볼린저 밴드 돌파 n=30, k=2.6 |
0.2% | -13.1% | 0.08 | 0.02 | 1.0x | 26 | 10% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.2% | -28.6% | 0.05 | -0.01 | 1.0x | 158 | 63% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=2.6 |
-1.2% | -39.0% | -0.07 | -0.03 | 0.8x | 92 | 48% |
| MACD fast=17, slow=24, signal=13 |
-2.8% | -38.9% | -0.17 | -0.07 | 0.6x | 264 | 49% |
| Buy and hold | 10.3% | -42.5% | 0.59 | 0.24 | 4.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 23 days
- Sell — Sell when price breaks below the lowest low of the last 86 days