Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Russell 1000 Growth ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Russell 1000 Growth ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -33.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -25.3%, Sharpe 0.83, 79% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.0%, MDD -33.4%, exposure 90%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=11, slow=229 |
11.2% | -25.3% | 0.83 | 0.44 | 5.4x | 19 | 79% |
| Donchian 채널 돌파 entryN=21, exitN=95 |
12.0% | -33.4% | 0.81 | 0.36 | 6.0x | 21 | 90% |
| EMA 크로스오버 fast=39, slow=123 |
10.7% | -27.6% | 0.77 | 0.39 | 5.0x | 19 | 81% |
| Supertrend period=29, mult=3.9 |
7.0% | -30.0% | 0.63 | 0.23 | 2.9x | 98 | 68% |
| ROC 모멘텀 n=131, threshold=0.01 |
7.5% | -27.2% | 0.61 | 0.28 | 3.2x | 93 | 76% |
| Parabolic SAR step=0.005, maxStep=0.22 |
5.0% | -24.6% | 0.48 | 0.20 | 2.2x | 162 | 64% |
| 볼린저 밴드 돌파 n=39, k=1.2 |
4.1% | -28.0% | 0.45 | 0.15 | 1.9x | 120 | 56% |
| MACD fast=23, slow=66, signal=29 |
4.2% | -34.5% | 0.43 | 0.12 | 1.9x | 116 | 53% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=2.2 |
3.8% | -30.7% | 0.41 | 0.12 | 1.8x | 102 | 57% |
| ADX / DI 방향성 period=26, threshold=23 |
0.2% | -19.4% | 0.07 | 0.01 | 1.0x | 30 | 10% |
| Buy and hold | 15.2% | -33.2% | 0.84 | 0.46 | 9.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 11-day average price crosses above the 229-day average
- Sell — Sell (to cash) when the 11-day average falls below the 229-day average