Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Global ex-U.S. Real Estate ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Global ex-U.S. Real Estate ETF. 5 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 -0.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.6%, drawdown -43.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -0.9%, Sharpe 0.39, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 0.4%, MDD -0.9%, exposure 0%).
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=51, threshold=0.22 |
0.4% | -0.9% | 0.39 | 0.46 | 1.1x | 2 | 0% |
| ADX / DI 방향성 period=38, threshold=18 |
0.3% | -8.0% | 0.14 | 0.04 | 1.0x | 14 | 4% |
| 볼린저 밴드 돌파 n=64, k=2.9 |
0.4% | -12.5% | 0.11 | 0.03 | 1.1x | 10 | 9% |
| SMA 크로스오버 fast=58, slow=207 |
-0.1% | -35.8% | 0.04 | -0.00 | 1.0x | 24 | 51% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=2.3 |
-0.4% | -20.5% | -0.06 | -0.02 | 0.9x | 52 | 11% |
| EMA 크로스오버 fast=45, slow=90 |
-1.1% | -26.9% | -0.06 | -0.04 | 0.8x | 32 | 54% |
| Donchian 채널 돌파 entryN=74, exitN=45 |
-1.0% | -33.3% | -0.08 | -0.03 | 0.9x | 36 | 42% |
| Supertrend period=15, mult=5 |
-1.4% | -32.1% | -0.09 | -0.04 | 0.8x | 68 | 52% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.9% | -41.5% | -0.22 | -0.07 | 0.6x | 143 | 55% |
| MACD fast=13, slow=28, signal=13 |
-5.1% | -60.2% | -0.43 | -0.08 | 0.4x | 249 | 51% |
| Buy and hold | -0.6% | -43.7% | 0.05 | -0.01 | 0.9x | 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 51-day return is greater than 22%
- Sell — Sell when the 51-day return drops to 22% or below