Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Div Appreciation ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Div Appreciation 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 8.0%, drawdown -48.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -18.3%, Sharpe 0.56, 74% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.7%, MDD -27.0%, exposure 76%.
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=79, exitN=101 |
5.5% | -18.3% | 0.56 | 0.30 | 3.0x | 21 | 74% |
| EMA 크로스오버 fast=40, slow=134 |
5.7% | -27.0% | 0.56 | 0.21 | 3.1x | 27 | 76% |
| SMA 크로스오버 fast=9, slow=200 |
5.3% | -17.7% | 0.54 | 0.30 | 2.8x | 45 | 74% |
| ROC 모멘텀 n=113, threshold=0 |
2.5% | -30.4% | 0.29 | 0.08 | 1.6x | 147 | 73% |
| Supertrend period=13, mult=4.5 |
2.3% | -20.7% | 0.29 | 0.11 | 1.6x | 91 | 64% |
| 볼린저 밴드 돌파 n=24, k=3.2 |
0.2% | -4.1% | 0.25 | 0.05 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=24, mult=1.6 |
-0.4% | -31.8% | -0.01 | -0.01 | 0.9x | 153 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.0% | -47.7% | -0.04 | -0.02 | 0.8x | 205 | 64% |
| ADX / DI 방향성 period=26, threshold=26 |
-0.3% | -10.4% | -0.19 | -0.03 | 0.9x | 12 | 3% |
| MACD fast=18, slow=42, signal=17 |
-3.4% | -55.3% | -0.28 | -0.06 | 0.5x | 274 | 52% |
| Buy and hold | 8.0% | -48.2% | 0.54 | 0.17 | 4.7x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 101 days