Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Oil Services ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Oil Services ETF. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -14.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.7%, drawdown -95.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.1%, MDD -73.7%, Sharpe 0.28, 78% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 0.5%, MDD -14.2%, exposure 3%).
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=17, exitN=71 |
4.1% | -73.7% | 0.28 | 0.06 | 2.8x | 68 | 78% |
| SMA 크로스오버 fast=26, slow=86 |
2.6% | -66.8% | 0.23 | 0.04 | 1.9x | 84 | 53% |
| 볼린저 밴드 돌파 n=35, k=2.8 |
1.9% | -43.7% | 0.21 | 0.04 | 1.6x | 42 | 11% |
| ROC 모멘텀 n=68, threshold=-0.08 |
1.3% | -76.8% | 0.18 | 0.02 | 1.4x | 234 | 72% |
| Supertrend period=29, mult=3.9 |
1.0% | -62.5% | 0.16 | 0.02 | 1.3x | 122 | 50% |
| EMA 크로스오버 fast=23, slow=115 |
1.0% | -57.3% | 0.16 | 0.02 | 1.3x | 68 | 51% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=28, mult=3.5 |
1.2% | -43.2% | 0.16 | 0.03 | 1.4x | 62 | 20% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.0% | -65.0% | 0.13 | 0.00 | 1.0x | 239 | 52% |
| ADX / DI 방향성 period=37, threshold=23 |
0.5% | -14.2% | 0.12 | 0.03 | 1.1x | 10 | 3% |
| MACD fast=16, slow=43, signal=14 |
-2.7% | -88.6% | 0.04 | -0.03 | 0.5x | 343 | 52% |
| Buy and hold | -1.7% | -95.5% | 0.15 | -0.02 | 0.6x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 71 days