Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Morningstar Mid-Cap Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Morningstar Mid-Cap Growth ETF. 1 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 9.4%, MDD -42.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.3%, drawdown -60.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -42.8%, Sharpe 0.65, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 9.4%, MDD -42.8%, exposure 81%).
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=36, exitN=77 |
9.4% | -42.8% | 0.65 | 0.22 | 6.0x | 29 | 81% |
| EMA 크로스오버 fast=48, slow=73 |
7.0% | -21.7% | 0.56 | 0.33 | 3.9x | 31 | 73% |
| SMA 크로스오버 fast=4, slow=150 |
6.4% | -27.9% | 0.53 | 0.23 | 3.5x | 71 | 72% |
| ROC 모멘텀 n=128, threshold=-0.03 |
6.9% | -25.3% | 0.52 | 0.27 | 3.8x | 99 | 79% |
| Supertrend period=19, mult=4.3 |
4.9% | -26.3% | 0.45 | 0.19 | 2.6x | 93 | 60% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=1.8 |
2.3% | -31.1% | 0.26 | 0.07 | 1.6x | 137 | 52% |
| 볼린저 밴드 돌파 n=50, k=1.7 |
0.7% | -24.6% | 0.12 | 0.03 | 1.1x | 109 | 44% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.5% | -42.3% | 0.03 | -0.01 | 0.9x | 199 | 63% |
| MACD fast=14, slow=41, signal=9 |
-2.2% | -44.3% | -0.10 | -0.05 | 0.6x | 316 | 51% |
| ADX / DI 방향성 period=33, threshold=16 |
-2.0% | -38.9% | -0.33 | -0.05 | 0.7x | 68 | 11% |
| Buy and hold | 9.3% | -60.3% | 0.51 | 0.15 | 5.9x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 77 days