Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Long-Term Treasury ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Long-Term Treasury ETF. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -9.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.5%, drawdown -50.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.5%, MDD -16.8%, Sharpe 0.24, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.6%, MDD -24.7%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 0.4%, MDD -9.9%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=76, k=2.8 |
1.5% | -16.8% | 0.24 | 0.09 | 1.3x | 24 | 21% |
| SMA 크로스오버 fast=26, slow=217 |
1.6% | -24.7% | 0.22 | 0.06 | 1.3x | 24 | 44% |
| Donchian 채널 돌파 entryN=116, exitN=52 |
0.9% | -25.4% | 0.15 | 0.04 | 1.2x | 22 | 32% |
| ADX / DI 방향성 period=37, threshold=20 |
0.4% | -9.9% | 0.13 | 0.04 | 1.1x | 18 | 7% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=12, mult=3.8 |
0.4% | -13.2% | 0.11 | 0.03 | 1.1x | 16 | 4% |
| EMA 크로스오버 fast=41, slow=42 |
0.6% | -31.3% | 0.11 | 0.02 | 1.1x | 54 | 51% |
| Supertrend period=20, mult=4.6 |
-1.6% | -39.8% | -0.14 | -0.04 | 0.8x | 72 | 43% |
| ROC 모멘텀 n=143, threshold=0.07 |
-2.2% | -38.9% | -0.26 | -0.06 | 0.7x | 120 | 22% |
| MACD fast=22, slow=49, signal=19 |
-3.3% | -49.4% | -0.29 | -0.07 | 0.6x | 160 | 49% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.3% | -57.6% | -0.42 | -0.07 | 0.5x | 138 | 48% |
| Buy and hold | -0.5% | -50.4% | 0.03 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 76-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 76-day middle average