Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Mid-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Mid-Cap ETF. 0 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 7.3%, MDD -25.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -60.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -25.8%, Sharpe 0.60, 76% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 34.5%p (CAGR 7.3%, MDD -25.8%, exposure 76%).
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=58, exitN=77 |
7.3% | -25.8% | 0.60 | 0.28 | 4.9x | 33 | 76% |
| SMA 크로스오버 fast=7, slow=155 |
6.8% | -27.7% | 0.60 | 0.25 | 4.4x | 59 | 73% |
| EMA 크로스오버 fast=23, slow=108 |
6.8% | -28.6% | 0.59 | 0.24 | 4.4x | 45 | 74% |
| Supertrend period=17, mult=4.8 |
4.7% | -24.4% | 0.45 | 0.19 | 2.8x | 89 | 65% |
| ROC 모멘텀 n=146, threshold=-0.05 |
5.0% | -41.8% | 0.42 | 0.12 | 3.0x | 99 | 83% |
| 볼린저 밴드 돌파 n=92, k=1.1 |
3.4% | -25.3% | 0.38 | 0.13 | 2.1x | 97 | 58% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=10, mult=1.9 |
3.3% | -18.2% | 0.36 | 0.18 | 2.1x | 117 | 60% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.0% | -47.0% | -0.01 | -0.02 | 0.8x | 235 | 64% |
| ADX / DI 방향성 period=27, threshold=36 |
-0.0% | -1.7% | -0.02 | -0.01 | 1.0x | 2 | 0% |
| MACD fast=16, slow=23, signal=9 |
-3.7% | -63.0% | -0.23 | -0.06 | 0.4x | 406 | 51% |
| Buy and hold | 8.7% | -60.3% | 0.51 | 0.14 | 6.5x | 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 58 days
- Sell — Sell when price breaks below the lowest low of the last 77 days