Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Agribusiness ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Agribusiness ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.6%, MDD -34.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.7%, drawdown -69.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -34.1%, Sharpe 0.39, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 4.6%, MDD -34.1%, exposure 60%).
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=31, slow=118 |
4.6% | -34.1% | 0.39 | 0.13 | 2.3x | 40 | 60% |
| Donchian 채널 돌파 entryN=67, exitN=63 |
3.2% | -29.1% | 0.30 | 0.11 | 1.8x | 30 | 56% |
| ROC 모멘텀 n=98, threshold=0.18 |
2.0% | -15.9% | 0.28 | 0.12 | 1.4x | 62 | 11% |
| EMA 크로스오버 fast=57, slow=63 |
3.0% | -39.0% | 0.28 | 0.08 | 1.8x | 43 | 62% |
| Supertrend period=9, mult=5 |
0.8% | -45.7% | 0.12 | 0.02 | 1.2x | 69 | 52% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
0.4% | -29.6% | 0.09 | 0.01 | 1.1x | 42 | 22% |
| ADX / DI 방향성 period=17, threshold=35 |
-0.0% | -9.3% | 0.00 | -0.00 | 1.0x | 13 | 1% |
| MACD fast=19, slow=46, signal=16 |
-1.8% | -50.5% | -0.04 | -0.04 | 0.7x | 211 | 50% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=3.4 |
-1.1% | -43.6% | -0.07 | -0.03 | 0.8x | 60 | 25% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-4.3% | -66.6% | -0.21 | -0.07 | 0.4x | 343 | 54% |
| Buy and hold | 3.7% | -69.5% | 0.27 | 0.05 | 2.0x | 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 31-day average price crosses above the 118-day average
- Sell — Sell (to cash) when the 31-day average falls below the 118-day average