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 5.0%, MDD -23.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -46.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -23.0%, Sharpe 0.44, 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 5.0%, 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 |
5.0% | -23.0% | 0.44 | 0.22 | 2.3x | 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 | 34 | 66% |
| Supertrend period=19, mult=5 |
3.8% | -30.8% | 0.38 | 0.12 | 1.9x | 64 | 63% |
| SMA 크로스오버 fast=59, slow=73 |
3.8% | -25.0% | 0.36 | 0.15 | 1.9x | 72 | 63% |
| ROC 모멘텀 Hold-like · Exposure 98% n=11, threshold=-0.09 |
4.6% | -41.6% | 0.35 | 0.11 | 2.2x | 43 | 98% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=2 |
-0.0% | -34.6% | 0.05 | -0.00 | 1.0x | 110 | 49% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
-0.2% | -28.7% | 0.02 | -0.01 | 1.0x | 88 | 42% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.1% | -59.0% | -0.12 | -0.04 | 0.7x | 168 | 58% |
| MACD fast=17, slow=27, signal=10 |
-4.5% | -66.7% | -0.38 | -0.07 | 0.5x | 296 | 48% |
| Buy and hold | 6.2% | -46.8% | 0.42 | 0.13 | 2.8x | 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