Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Utilities ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Utilities ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.1%, drawdown -48.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.2%, MDD -46.2%, Sharpe 0.45, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=18, threshold=-0.11 |
6.2% | -46.2% | 0.45 | 0.13 | 3.9x | 19 | 98% |
| Donchian 채널 돌파 entryN=86, exitN=114 |
4.3% | -26.2% | 0.39 | 0.16 | 2.6x | 19 | 78% |
| SMA 크로스오버 fast=42, slow=212 |
3.4% | -36.8% | 0.31 | 0.09 | 2.1x | 27 | 70% |
| EMA 크로스오버 fast=47, slow=192 |
3.4% | -39.6% | 0.31 | 0.08 | 2.1x | 21 | 74% |
| ADX / DI 방향성 period=26, threshold=32 |
0.2% | -5.5% | 0.13 | 0.03 | 1.0x | 6 | 1% |
| Supertrend period=24, mult=4.7 |
-0.0% | -29.2% | 0.05 | -0.00 | 1.0x | 90 | 63% |
| 볼린저 밴드 돌파 n=41, k=3 |
-0.2% | -19.4% | -0.02 | -0.01 | 1.0x | 28 | 8% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=10, mult=3.3 |
-0.1% | -5.0% | -0.05 | -0.01 | 1.0x | 8 | 1% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.0% | -45.7% | -0.11 | -0.04 | 0.6x | 213 | 59% |
| MACD fast=22, slow=35, signal=31 |
-2.4% | -52.4% | -0.15 | -0.05 | 0.6x | 211 | 54% |
| Buy and hold | 6.1% | -48.4% | 0.42 | 0.13 | 3.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 18-day return is greater than -11%
- Sell — Sell when the 18-day return drops to -11% or below