Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard S&P Small-Cap 600 ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P Small-Cap 600 ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.4%, MDD -32.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -45.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.4%, MDD -31.4%, Sharpe 0.65, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 14.2%p (CAGR 9.4%, MDD -32.6%, exposure 85%).
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 99% n=9, threshold=-0.09 |
11.4% | -31.4% | 0.65 | 0.36 | 5.7x | 29 | 99% |
| Donchian 채널 돌파 entryN=24, exitN=79 |
9.4% | -32.6% | 0.62 | 0.29 | 4.2x | 29 | 85% |
| SMA 크로스오버 fast=38, slow=97 |
5.3% | -32.1% | 0.43 | 0.17 | 2.3x | 43 | 69% |
| EMA 크로스오버 fast=45, slow=97 |
4.6% | -32.9% | 0.39 | 0.14 | 2.1x | 29 | 72% |
| Supertrend period=26, mult=4.7 |
3.8% | -31.2% | 0.33 | 0.12 | 1.8x | 66 | 66% |
| ADX / DI 방향성 period=22, threshold=28 |
1.0% | -7.5% | 0.29 | 0.14 | 1.2x | 12 | 3% |
| 볼린저 밴드 돌파 n=26, k=3.1 |
1.0% | -13.6% | 0.26 | 0.08 | 1.2x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=25, mult=2.6 |
0.5% | -6.4% | 0.17 | 0.08 | 1.1x | 16 | 3% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-0.6% | -46.9% | 0.03 | -0.01 | 0.9x | 274 | 58% |
| MACD fast=11, slow=21, signal=13 |
-0.9% | -31.6% | 0.01 | -0.03 | 0.9x | 284 | 48% |
| Buy and hold | 10.5% | -45.6% | 0.58 | 0.23 | 5.0x | 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 9-day return is greater than -9%
- Sell — Sell when the 9-day return drops to -9% or below