Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Intermediate-Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Intermediate-Term Treasury 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 0.2%, MDD -0.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.2%, drawdown -20.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -0.9%, Sharpe 0.32, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 0.2%, MDD -0.9%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=36 |
0.2% | -0.9% | 0.32 | 0.20 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.1% | -2.4% | 0.08 | 0.03 | 1.0x | 4 | 3% |
| Donchian 채널 돌파 entryN=39, exitN=77 |
-0.2% | -13.5% | -0.03 | -0.01 | 1.0x | 32 | 66% |
| EMA 크로스오버 fast=58, slow=93 |
-0.2% | -12.7% | -0.04 | -0.01 | 1.0x | 26 | 51% |
| ROC 모멘텀 Hold-like · Exposure 98% n=35, threshold=-0.04 |
-0.6% | -24.0% | -0.12 | -0.03 | 0.9x | 21 | 98% |
| SMA 크로스오버 fast=43, slow=216 |
-0.5% | -10.7% | -0.15 | -0.05 | 0.9x | 22 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=15, mult=3.6 |
-0.6% | -14.3% | -0.27 | -0.04 | 0.9x | 38 | 18% |
| Supertrend period=25, mult=4.9 |
-1.5% | -27.1% | -0.45 | -0.06 | 0.8x | 62 | 51% |
| MACD fast=54, slow=82, signal=27 |
-2.0% | -35.7% | -0.60 | -0.06 | 0.7x | 86 | 47% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.2% | -51.6% | -1.27 | -0.08 | 0.5x | 132 | 48% |
| Buy and hold | -0.2% | -20.7% | -0.02 | -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, 23-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)