Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard S&P 500 Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard S&P 500 Growth 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 15.4%, drawdown -33.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -41.2%, Sharpe 0.80, 89% exposure.
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=15, exitN=62 |
11.3% | -41.2% | 0.80 | 0.27 | 5.5x | 35 | 89% |
| SMA 크로스오버 fast=6, slow=204 |
10.0% | -21.8% | 0.78 | 0.46 | 4.6x | 33 | 79% |
| EMA 크로스오버 fast=25, slow=151 |
10.4% | -26.0% | 0.76 | 0.40 | 4.8x | 19 | 81% |
| ROC 모멘텀 n=132, threshold=-0.04 |
8.4% | -32.7% | 0.62 | 0.26 | 3.6x | 77 | 87% |
| Supertrend period=29, mult=4.5 |
6.4% | -28.4% | 0.58 | 0.22 | 2.7x | 77 | 69% |
| Parabolic SAR step=0.005, maxStep=0.28 |
4.8% | -22.3% | 0.45 | 0.22 | 2.1x | 161 | 66% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=5, mult=3.3 |
2.7% | -29.9% | 0.34 | 0.09 | 1.5x | 85 | 50% |
| MACD fast=23, slow=59, signal=34 |
2.1% | -35.4% | 0.25 | 0.06 | 1.4x | 128 | 53% |
| 볼린저 밴드 돌파 n=42, k=1.3 |
1.8% | -29.5% | 0.23 | 0.06 | 1.3x | 123 | 57% |
| ADX / DI 방향성 period=25, threshold=35 |
0.1% | -1.2% | 0.14 | 0.09 | 1.0x | 2 | 0% |
| Buy and hold | 15.4% | -33.1% | 0.85 | 0.46 | 9.9x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 62 days