Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Consumer Discretion ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Consumer Discretion ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -23.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -62.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -23.5%, Sharpe 0.60, 75% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 39.2%p (CAGR 7.9%, MDD -23.5%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=26, slow=184 |
7.9% | -23.5% | 0.60 | 0.34 | 5.6x | 29 | 75% |
| Donchian 채널 돌파 entryN=96, exitN=75 |
6.4% | -25.8% | 0.55 | 0.25 | 4.1x | 32 | 62% |
| SMA 크로스오버 fast=21, slow=215 |
6.8% | -29.6% | 0.53 | 0.23 | 4.4x | 39 | 73% |
| Supertrend period=17, mult=4.4 |
5.5% | -36.3% | 0.47 | 0.15 | 3.3x | 103 | 63% |
| ROC 모멘텀 n=68, threshold=-0.04 |
3.7% | -51.9% | 0.31 | 0.07 | 2.3x | 167 | 79% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=15, mult=2.1 |
2.1% | -29.6% | 0.24 | 0.07 | 1.6x | 132 | 54% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
0.3% | -5.2% | 0.19 | 0.06 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.0% | -45.1% | 0.14 | 0.02 | 1.2x | 223 | 61% |
| MACD fast=15, slow=22, signal=15 |
-1.4% | -47.1% | -0.04 | -0.03 | 0.7x | 362 | 50% |
| ADX / DI 방향성 period=38, threshold=15 |
-1.1% | -32.3% | -0.15 | -0.03 | 0.8x | 70 | 13% |
| Buy and hold | 9.7% | -62.7% | 0.53 | 0.15 | 8.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 26-day EMA crosses above the 184-day EMA
- Sell — Sell when the 26-day EMA falls below the 184-day EMA