Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard FTSE Pacific ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE Pacific ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.7%, MDD -23.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -57.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.7%, MDD -23.6%, Sharpe 0.27, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 33.8%p (CAGR 2.7%, MDD -23.6%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=82, slow=170 |
2.7% | -23.6% | 0.27 | 0.12 | 1.8x | 27 | 61% |
| Donchian 채널 돌파 entryN=118, exitN=62 |
1.9% | -26.2% | 0.23 | 0.07 | 1.5x | 33 | 48% |
| Supertrend period=26, mult=4.5 |
2.0% | -35.7% | 0.22 | 0.05 | 1.5x | 98 | 61% |
| SMA 크로스오버 fast=37, slow=163 |
1.9% | -35.9% | 0.21 | 0.05 | 1.5x | 39 | 60% |
| 볼린저 밴드 돌파 n=31, k=3.2 |
0.5% | -8.7% | 0.17 | 0.06 | 1.1x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=4 |
0.9% | -18.1% | 0.14 | 0.05 | 1.2x | 56 | 29% |
| ROC 모멘텀 n=25, threshold=-0.09 |
0.2% | -61.2% | 0.10 | 0.00 | 1.0x | 113 | 95% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.9% | -59.6% | -0.17 | -0.05 | 0.5x | 190 | 58% |
| ADX / DI 방향성 period=24, threshold=33 |
-0.3% | -7.0% | -0.24 | -0.04 | 0.9x | 2 | 0% |
| MACD fast=28, slow=45, signal=17 |
-4.8% | -74.0% | -0.31 | -0.06 | 0.4x | 230 | 50% |
| Buy and hold | 3.6% | -57.4% | 0.28 | 0.06 | 2.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 82-day EMA crosses above the 170-day EMA
- Sell — Sell when the 82-day EMA falls below the 170-day EMA