Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Short-Term Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Short-Term Corporate Bond ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.4%, MDD -6.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.2%, drawdown -12.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -6.2%, Sharpe 0.20, 92% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 6.6%p (CAGR 0.4%, MDD -6.2%, exposure 92%).
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 n=136, threshold=-0.03 |
0.4% | -6.2% | 0.20 | 0.06 | 1.1x | 7 | 92% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
-0.0% | -1.0% | -0.12 | -0.03 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=68, exitN=127 |
-0.3% | -12.0% | -0.19 | -0.03 | 0.9x | 22 | 63% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=9, mult=4 |
-0.2% | -3.6% | -0.21 | -0.04 | 1.0x | 14 | 7% |
| ADX / DI 방향성 period=28, threshold=38 |
-0.1% | -1.2% | -0.34 | -0.06 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=43, slow=158 |
-0.8% | -16.7% | -0.43 | -0.05 | 0.9x | 26 | 57% |
| Supertrend period=28, mult=4.5 |
-1.0% | -19.1% | -0.48 | -0.05 | 0.9x | 58 | 57% |
| SMA 크로스오버 fast=48, slow=203 |
-1.2% | -21.0% | -0.53 | -0.06 | 0.8x | 22 | 54% |
| MACD fast=24, slow=71, signal=24 |
-3.2% | -42.1% | -1.57 | -0.08 | 0.6x | 122 | 47% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.0% | -49.5% | -1.83 | -0.08 | 0.5x | 146 | 54% |
| Buy and hold | 0.2% | -12.9% | 0.09 | 0.02 | 1.0x | 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 136-day return is greater than -3%
- Sell — Sell when the 136-day return drops to -3% or below