Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Consumer Staples ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Consumer Staples ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -36.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.5%, MDD -29.1%, Sharpe 0.57, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 97% n=34, threshold=-0.09 |
6.5% | -29.1% | 0.57 | 0.22 | 4.1x | 23 | 97% |
| Donchian 채널 돌파 entryN=15, exitN=77 |
4.4% | -21.1% | 0.44 | 0.21 | 2.7x | 49 | 88% |
| EMA 크로스오버 fast=47, slow=174 |
3.2% | -29.7% | 0.34 | 0.11 | 2.1x | 29 | 80% |
| SMA 크로스오버 fast=41, slow=195 |
2.8% | -30.6% | 0.30 | 0.09 | 1.9x | 31 | 77% |
| Supertrend period=34, mult=3.3 |
0.6% | -27.4% | 0.11 | 0.02 | 1.1x | 153 | 67% |
| ADX / DI 방향성 period=37, threshold=23 |
0.0% | -8.2% | 0.02 | 0.00 | 1.0x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=17, mult=2.7 |
-0.0% | -6.9% | -0.00 | -0.00 | 1.0x | 8 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.6% | -27.5% | -0.02 | -0.02 | 0.9x | 209 | 64% |
| 볼린저 밴드 돌파 n=30, k=3 |
-0.1% | -7.5% | -0.03 | -0.01 | 1.0x | 8 | 2% |
| MACD fast=28, slow=58, signal=15 |
-3.6% | -56.2% | -0.39 | -0.06 | 0.4x | 247 | 51% |
| Buy and hold | 6.9% | -36.6% | 0.55 | 0.19 | 4.5x | 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 34-day return is greater than -9%
- Sell — Sell when the 34-day return drops to -9% or below