Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Total World Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Total World Bond ETF. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.1%, MDD -1.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.4%, drawdown -20.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -3.2%, Sharpe 0.39, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR -0.1%, MDD -1.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=3.1 |
0.4% | -3.2% | 0.39 | 0.11 | 1.0x | 4 | 8% |
| ADX / DI 방향성 period=24, threshold=32 |
-0.0% | -3.5% | -0.03 | -0.01 | 1.0x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=20, mult=4 |
-0.1% | -1.2% | -0.13 | -0.05 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=122, exitN=14 |
-0.3% | -6.4% | -0.19 | -0.05 | 1.0x | 14 | 10% |
| ROC 모멘텀 Hold-like · Exposure 98% n=46, threshold=-0.08 |
-1.5% | -22.2% | -0.27 | -0.07 | 0.9x | 5 | 98% |
| SMA 크로스오버 fast=75, slow=142 |
-0.8% | -11.2% | -0.29 | -0.07 | 0.9x | 14 | 45% |
| EMA 크로스오버 fast=58, slow=142 |
-1.0% | -13.9% | -0.31 | -0.07 | 0.9x | 12 | 44% |
| Supertrend period=22, mult=4.5 |
-1.7% | -17.9% | -0.51 | -0.09 | 0.9x | 38 | 47% |
| MACD fast=39, slow=72, signal=24 |
-1.9% | -19.2% | -0.53 | -0.10 | 0.9x | 40 | 48% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.5% | -31.8% | -1.28 | -0.14 | 0.7x | 70 | 53% |
| Buy and hold | -1.4% | -20.9% | -0.26 | -0.07 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 38-day middle average