Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard S&P 500 ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P 500 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 10.1%, MDD -27.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -34.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -27.0%, Sharpe 0.83, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 7.3%p (CAGR 10.1%, MDD -27.0%, exposure 87%).
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=19, exitN=63 |
10.1% | -27.0% | 0.83 | 0.38 | 4.7x | 35 | 87% |
| SMA 크로스오버 fast=9, slow=195 |
8.1% | -20.4% | 0.74 | 0.40 | 3.5x | 29 | 78% |
| EMA 크로스오버 fast=32, slow=119 |
7.5% | -22.9% | 0.66 | 0.33 | 3.2x | 23 | 80% |
| ROC 모멘텀 n=106, threshold=-0.04 |
6.0% | -30.7% | 0.53 | 0.19 | 2.5x | 67 | 85% |
| Supertrend period=11, mult=4.8 |
4.6% | -21.6% | 0.52 | 0.21 | 2.1x | 65 | 62% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.5% | -29.7% | 0.29 | 0.08 | 1.5x | 163 | 64% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=16, mult=3.9 |
0.5% | -24.1% | 0.10 | 0.02 | 1.1x | 59 | 40% |
| 볼린저 밴드 돌파 n=40, k=1.4 |
-0.5% | -27.5% | -0.01 | -0.02 | 0.9x | 129 | 55% |
| MACD fast=14, slow=45, signal=19 |
-0.8% | -31.8% | -0.04 | -0.03 | 0.9x | 208 | 53% |
| ADX / DI 방향성 period=33, threshold=21 |
-0.3% | -16.2% | -0.09 | -0.02 | 1.0x | 12 | 5% |
| Buy and hold | 12.9% | -34.3% | 0.80 | 0.38 | 6.9x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 63 days