Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Mega Cap Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Mega Cap Growth ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.1%, MDD -29.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -48.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -29.1%, Sharpe 0.79, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 19.7%p (CAGR 11.1%, MDD -29.1%, exposure 77%).
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=16, slow=207 |
11.1% | -29.1% | 0.79 | 0.38 | 7.1x | 23 | 77% |
| EMA 크로스오버 fast=34, slow=161 |
10.6% | -29.1% | 0.74 | 0.36 | 6.5x | 21 | 78% |
| Supertrend period=22, mult=4 |
8.3% | -30.3% | 0.71 | 0.27 | 4.4x | 91 | 67% |
| Donchian 채널 돌파 entryN=42, exitN=64 |
9.3% | -32.5% | 0.69 | 0.29 | 5.2x | 37 | 79% |
| ROC 모멘텀 n=98, threshold=-0.11 |
10.0% | -36.4% | 0.63 | 0.28 | 5.9x | 67 | 91% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=11, mult=2 |
4.9% | -25.2% | 0.56 | 0.20 | 2.4x | 126 | 48% |
| 볼린저 밴드 돌파 n=39, k=1.2 |
3.7% | -32.4% | 0.39 | 0.11 | 2.0x | 146 | 55% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.4% | -31.7% | 0.32 | 0.11 | 1.9x | 189 | 64% |
| ADX / DI 방향성 period=29, threshold=18 |
0.5% | -17.9% | 0.11 | 0.03 | 1.1x | 58 | 13% |
| MACD fast=9, slow=30, signal=16 |
-1.6% | -45.1% | -0.06 | -0.04 | 0.7x | 330 | 52% |
| Buy and hold | 12.2% | -48.8% | 0.65 | 0.25 | 8.5x | 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 16-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 16-day average falls below the 207-day average