Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Pharmaceutical ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Pharmaceutical ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.4%, drawdown -56.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.0%, MDD -57.6%, Sharpe 0.26, 99% 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 99% n=13, threshold=-0.11 |
3.0% | -57.6% | 0.26 | 0.05 | 2.2x | 39 | 99% |
| Donchian 채널 돌파 entryN=8, exitN=86 |
1.5% | -51.8% | 0.18 | 0.03 | 1.5x | 69 | 91% |
| SMA 크로스오버 fast=50, slow=175 |
1.3% | -44.9% | 0.16 | 0.03 | 1.4x | 39 | 59% |
| EMA 크로스오버 fast=39, slow=158 |
0.3% | -46.6% | 0.08 | 0.01 | 1.1x | 49 | 59% |
| Supertrend period=25, mult=4.5 |
-0.3% | -51.4% | 0.03 | -0.01 | 0.9x | 121 | 58% |
| MACD fast=21, slow=69, signal=31 |
-0.8% | -39.3% | -0.02 | -0.02 | 0.8x | 209 | 52% |
| ADX / DI 방향성 period=36, threshold=26 |
-0.0% | -5.1% | -0.02 | -0.01 | 1.0x | 4 | 1% |
| 볼린저 밴드 돌파 n=62, k=2.2 |
-0.4% | -24.5% | -0.03 | -0.02 | 0.9x | 69 | 25% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=25, mult=3.3 |
-0.9% | -33.5% | -0.09 | -0.03 | 0.8x | 89 | 30% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.6% | -70.0% | -0.16 | -0.04 | 0.5x | 239 | 58% |
| Buy and hold | 3.4% | -56.6% | 0.27 | 0.06 | 2.4x | 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 13-day return is greater than -11%
- Sell — Sell when the 13-day return drops to -11% or below