Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard FTSE All-Wld ex-US SmCp Idx ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard FTSE All-Wld ex-US SmCp Idx 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 5.4%, MDD -23.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -46.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -23.0%, Sharpe 0.46, 73% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 23.8%p (CAGR 5.4%, MDD -23.0%, exposure 73%).
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=42, exitN=87 |
5.4% | -23.0% | 0.46 | 0.23 | 2.5x | 27 | 73% |
| ADX / DI 방향성 period=34, threshold=26 |
1.3% | -8.5% | 0.39 | 0.15 | 1.3x | 6 | 3% |
| EMA 크로스오버 fast=56, slow=64 |
4.0% | -26.6% | 0.38 | 0.15 | 2.0x | 35 | 66% |
| Supertrend period=19, mult=5 |
3.8% | -30.8% | 0.37 | 0.12 | 1.9x | 65 | 63% |
| ROC 모멘텀 Hold-like · Exposure 98% n=11, threshold=-0.09 |
4.9% | -41.6% | 0.37 | 0.12 | 2.3x | 43 | 98% |
| SMA 크로스오버 fast=59, slow=73 |
3.7% | -25.0% | 0.36 | 0.15 | 1.9x | 72 | 62% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=2 |
-0.0% | -34.6% | 0.05 | -0.00 | 1.0x | 111 | 49% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
-0.3% | -28.7% | 0.01 | -0.01 | 1.0x | 89 | 42% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.9% | -59.0% | -0.11 | -0.03 | 0.7x | 169 | 58% |
| MACD fast=17, slow=27, signal=10 |
-4.2% | -66.7% | -0.35 | -0.06 | 0.5x | 297 | 49% |
| Buy and hold | 6.6% | -46.8% | 0.44 | 0.14 | 3.0x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 87 days