Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Long-Term Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Long-Term Corporate Bond ETF. 6 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 0.5%, MDD -5.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.3%, drawdown -40.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -5.6%, Sharpe 0.32, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.6%, MDD -28.2%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 0.5%, MDD -5.6%, exposure 3%).
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=39, threshold=26 |
0.5% | -5.6% | 0.32 | 0.09 | 1.1x | 4 | 3% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
0.4% | -5.7% | 0.19 | 0.07 | 1.1x | 6 | 4% |
| SMA 크로스오버 fast=55, slow=88 |
0.6% | -28.2% | 0.11 | 0.02 | 1.1x | 42 | 53% |
| Donchian 채널 돌파 entryN=53, exitN=47 |
0.4% | -22.3% | 0.10 | 0.02 | 1.1x | 38 | 48% |
| ROC 모멘텀 Hold-like · Exposure 100% n=6, threshold=-0.09 |
0.2% | -40.1% | 0.07 | 0.00 | 1.0x | 3 | 100% |
| Supertrend period=24, mult=4.7 |
-0.0% | -20.0% | 0.03 | -0.00 | 1.0x | 60 | 46% |
| EMA 크로스오버 fast=27, slow=79 |
-0.6% | -37.4% | -0.04 | -0.02 | 0.9x | 48 | 54% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=12, mult=3.2 |
-0.9% | -21.3% | -0.19 | -0.04 | 0.9x | 48 | 17% |
| MACD fast=24, slow=69, signal=32 |
-3.0% | -44.1% | -0.38 | -0.07 | 0.6x | 114 | 51% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-5.3% | -60.7% | -0.69 | -0.09 | 0.4x | 254 | 52% |
| Buy and hold | -0.3% | -40.1% | 0.03 | -0.01 | 1.0x | 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, 39-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)