Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Financials ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Financials ETF. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.0%, MDD -27.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.6%, drawdown -79.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -27.6%, Sharpe 0.54, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 7.0%, MDD -27.6%, exposure 71%).
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=65, exitN=106 |
7.0% | -27.6% | 0.54 | 0.25 | 4.6x | 21 | 71% |
| SMA 크로스오버 fast=12, slow=126 |
5.9% | -30.6% | 0.48 | 0.19 | 3.6x | 57 | 65% |
| EMA 크로스오버 fast=31, slow=80 |
5.7% | -28.0% | 0.47 | 0.20 | 3.5x | 53 | 67% |
| ROC 모멘텀 n=149, threshold=-0.08 |
5.1% | -39.8% | 0.40 | 0.13 | 3.1x | 73 | 80% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
1.5% | -12.9% | 0.34 | 0.12 | 1.4x | 8 | 6% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=27, mult=3.8 |
1.4% | -20.8% | 0.22 | 0.07 | 1.4x | 49 | 20% |
| Supertrend period=19, mult=3.5 |
0.8% | -45.4% | 0.13 | 0.02 | 1.2x | 153 | 60% |
| ADX / DI 방향성 period=21, threshold=30 |
0.1% | -10.2% | 0.05 | 0.01 | 1.0x | 12 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.4% | -66.9% | -0.00 | -0.02 | 0.7x | 207 | 59% |
| MACD fast=12, slow=48, signal=28 |
-3.1% | -65.7% | -0.11 | -0.05 | 0.5x | 257 | 51% |
| Buy and hold | 4.6% | -79.9% | 0.30 | 0.06 | 2.8x | 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 65 days
- Sell — Sell when price breaks below the lowest low of the last 106 days