Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard S&P Small-Cap 600 Value ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P Small-Cap 600 Value ETF. 2 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 10.6%, MDD -32.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.6%, drawdown -48.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.6%, MDD -32.4%, Sharpe 0.62, 93% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.7%, MDD -36.6%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 16.5%p (CAGR 10.6%, MDD -32.4%, exposure 93%).
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=6, exitN=90 |
10.6% | -32.4% | 0.62 | 0.33 | 5.0x | 37 | 93% |
| ROC 모멘텀 Hold-like · Exposure 98% n=9, threshold=-0.08 |
10.7% | -36.6% | 0.61 | 0.29 | 5.1x | 47 | 98% |
| EMA 크로스오버 fast=54, slow=194 |
5.4% | -31.8% | 0.43 | 0.17 | 2.3x | 17 | 68% |
| SMA 크로스오버 fast=48, slow=128 |
5.0% | -38.3% | 0.41 | 0.13 | 2.2x | 31 | 66% |
| 볼린저 밴드 돌파 n=23, k=2.8 |
1.6% | -16.6% | 0.34 | 0.10 | 1.3x | 20 | 6% |
| Supertrend period=28, mult=5 |
1.6% | -32.9% | 0.18 | 0.05 | 1.3x | 72 | 59% |
| Parabolic SAR step=0.01, maxStep=0.3 |
0.9% | -33.9% | 0.14 | 0.03 | 1.2x | 226 | 59% |
| ADX / DI 방향성 period=34, threshold=25 |
0.3% | -10.2% | 0.10 | 0.02 | 1.0x | 6 | 1% |
| MACD fast=10, slow=48, signal=18 |
-0.4% | -36.9% | 0.05 | -0.01 | 0.9x | 222 | 48% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=16, mult=2.8 |
-0.2% | -10.5% | -0.05 | -0.02 | 1.0x | 14 | 2% |
| Buy and hold | 9.6% | -48.9% | 0.53 | 0.20 | 4.4x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 90 days