Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Total International Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Total International Bond ETF. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -3.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.4%, drawdown -20.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -3.0%, Sharpe 0.39, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 17.6%p (CAGR 0.4%, MDD -3.0%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=22 |
0.4% | -3.0% | 0.39 | 0.15 | 1.1x | 10 | 11% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
0.4% | -4.3% | 0.33 | 0.09 | 1.1x | 10 | 15% |
| Donchian 채널 돌파 entryN=142, exitN=70 |
-0.0% | -12.1% | -0.01 | -0.00 | 1.0x | 16 | 37% |
| ROC 모멘텀 n=65, threshold=-0.04 |
-0.3% | -20.5% | -0.05 | -0.01 | 1.0x | 11 | 93% |
| SMA 크로스오버 fast=51, slow=104 |
-0.6% | -17.6% | -0.22 | -0.04 | 0.9x | 28 | 57% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=28, mult=4 |
-0.5% | -12.7% | -0.24 | -0.04 | 0.9x | 24 | 21% |
| EMA 크로스오버 fast=38, slow=81 |
-0.8% | -18.1% | -0.29 | -0.05 | 0.9x | 32 | 56% |
| Supertrend period=18, mult=4.2 |
-1.3% | -24.2% | -0.38 | -0.05 | 0.8x | 54 | 61% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-4.0% | -41.2% | -1.20 | -0.10 | 0.6x | 106 | 57% |
| MACD fast=18, slow=56, signal=14 |
-5.4% | -52.6% | -1.62 | -0.10 | 0.5x | 150 | 52% |
| Buy and hold | -0.4% | -20.7% | -0.08 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)