Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Mega Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Mega Cap Value 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 6.4%, MDD -20.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -57.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -20.8%, Sharpe 0.59, 76% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 36.5%p (CAGR 6.4%, MDD -20.8%, exposure 76%).
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=56, exitN=78 |
6.4% | -20.8% | 0.59 | 0.31 | 3.2x | 23 | 76% |
| SMA 크로스오버 fast=15, slow=190 |
5.9% | -20.9% | 0.57 | 0.28 | 2.9x | 35 | 76% |
| EMA 크로스오버 fast=54, slow=84 |
5.8% | -23.5% | 0.57 | 0.25 | 2.9x | 29 | 75% |
| ROC 모멘텀 n=84, threshold=-0.06 |
5.1% | -24.8% | 0.47 | 0.21 | 2.6x | 79 | 86% |
| Supertrend period=18, mult=5 |
2.0% | -30.9% | 0.24 | 0.06 | 1.4x | 77 | 63% |
| 볼린저 밴드 돌파 n=26, k=3.4 |
0.2% | -4.3% | 0.23 | 0.05 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=37, threshold=15 |
-0.2% | -19.3% | -0.01 | -0.01 | 1.0x | 50 | 16% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=25, mult=1.7 |
-1.0% | -43.9% | -0.07 | -0.02 | 0.8x | 139 | 55% |
| MACD fast=17, slow=28, signal=17 |
-2.4% | -49.3% | -0.15 | -0.05 | 0.6x | 252 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.5% | -55.3% | -0.24 | -0.06 | 0.5x | 286 | 61% |
| Buy and hold | 6.6% | -57.3% | 0.43 | 0.12 | 3.3x | 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 56 days
- Sell — Sell when price breaks below the lowest low of the last 78 days