Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Mortgage REIT Income ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Mortgage REIT Income ETF. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -4.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.2%, drawdown -75.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.4%, MDD -10.2%, Sharpe 0.31, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 64.8%p (CAGR 0.3%, MDD -4.1%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=138, threshold=0.24 |
1.4% | -10.2% | 0.31 | 0.14 | 1.2x | 22 | 5% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
0.4% | -4.5% | 0.18 | 0.09 | 1.1x | 2 | 1% |
| ADX / DI 방향성 period=34, threshold=25 |
0.3% | -4.1% | 0.13 | 0.07 | 1.0x | 4 | 0% |
| Supertrend period=33, mult=4.6 |
-0.1% | -38.5% | 0.06 | -0.00 | 1.0x | 58 | 51% |
| SMA 크로스오버 fast=17, slow=52 |
-2.3% | -46.8% | -0.10 | -0.05 | 0.7x | 74 | 55% |
| Donchian 채널 돌파 entryN=38, exitN=74 |
-2.8% | -54.4% | -0.14 | -0.05 | 0.6x | 34 | 61% |
| MACD fast=21, slow=53, signal=22 |
-3.7% | -50.9% | -0.18 | -0.07 | 0.6x | 140 | 54% |
| EMA 크로스오버 fast=32, slow=35 |
-3.2% | -60.1% | -0.21 | -0.05 | 0.6x | 64 | 53% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-5.3% | -59.2% | -0.31 | -0.09 | 0.4x | 130 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=3.5 |
-3.0% | -41.1% | -0.38 | -0.07 | 0.6x | 46 | 20% |
| Buy and hold | -6.2% | -75.0% | -0.12 | -0.08 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 138-day return is greater than 24%
- Sell — Sell when the 138-day return drops to 24% or below