Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Information Tech ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Information Tech ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 13.0%, MDD -40.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -54.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.0%, MDD -40.2%, Sharpe 0.73, 89% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 14.6%p (CAGR 13.0%, MDD -40.2%, exposure 89%).
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=188, threshold=-0.11 |
13.0% | -40.2% | 0.73 | 0.32 | 15.8x | 37 | 89% |
| Donchian 채널 돌파 entryN=38, exitN=75 |
11.2% | -40.8% | 0.72 | 0.28 | 11.1x | 39 | 80% |
| EMA 크로스오버 fast=26, slow=96 |
10.7% | -27.9% | 0.72 | 0.39 | 10.0x | 45 | 74% |
| SMA 크로스오버 fast=15, slow=186 |
10.4% | -31.2% | 0.68 | 0.33 | 9.3x | 39 | 76% |
| Supertrend period=11, mult=3.4 |
7.8% | -30.0% | 0.63 | 0.26 | 5.5x | 149 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=2.2 |
5.8% | -35.2% | 0.52 | 0.16 | 3.5x | 125 | 53% |
| 볼린저 밴드 돌파 n=50, k=1.7 |
4.0% | -34.0% | 0.39 | 0.12 | 2.4x | 124 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
2.3% | -38.3% | 0.23 | 0.06 | 1.7x | 241 | 61% |
| ADX / DI 방향성 period=38, threshold=11 |
1.0% | -41.7% | 0.15 | 0.02 | 1.3x | 170 | 35% |
| MACD fast=15, slow=52, signal=12 |
0.7% | -47.3% | 0.12 | 0.01 | 1.2x | 310 | 53% |
| Buy and hold | 14.1% | -54.8% | 0.69 | 0.26 | 19.5x | 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 188-day return is greater than -11%
- Sell — Sell when the 188-day return drops to -11% or below