Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Health Care ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Health Care ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -40.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -27.0%, Sharpe 0.59, 67% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=70, exitN=64 |
6.1% | -27.0% | 0.59 | 0.22 | 3.8x | 33 | 67% |
| SMA 크로스오버 fast=8, slow=134 |
4.8% | -32.0% | 0.48 | 0.15 | 2.9x | 61 | 68% |
| EMA 크로스오버 fast=38, slow=142 |
4.2% | -34.2% | 0.40 | 0.12 | 2.5x | 43 | 70% |
| 볼린저 밴드 돌파 n=11, k=2.6 |
0.5% | -6.2% | 0.26 | 0.09 | 1.1x | 16 | 3% |
| Supertrend period=12, mult=4.6 |
1.8% | -35.1% | 0.23 | 0.05 | 1.5x | 93 | 61% |
| ROC 모멘텀 n=134, threshold=0.05 |
1.0% | -42.7% | 0.16 | 0.02 | 1.3x | 149 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=29, mult=3.8 |
0.2% | -14.0% | 0.08 | 0.02 | 1.1x | 29 | 9% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.2% | -49.0% | -0.15 | -0.05 | 0.6x | 215 | 62% |
| ADX / DI 방향성 period=39, threshold=12 |
-1.3% | -37.6% | -0.17 | -0.04 | 0.7x | 137 | 29% |
| MACD fast=17, slow=41, signal=11 |
-2.9% | -55.1% | -0.23 | -0.05 | 0.5x | 327 | 52% |
| Buy and hold | 8.3% | -40.9% | 0.56 | 0.20 | 6.1x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 64 days