Trend-Following Backtester · Guide · backtest 한국어
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Vanguard Russell 1000 Value ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Russell 1000 Value ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.3%, MDD -20.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -38.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -20.9%, Sharpe 0.71, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 17.3%p (CAGR 8.3%, MDD -20.9%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=76 |
8.3% | -20.9% | 0.71 | 0.39 | 3.5x | 27 | 88% |
| SMA 크로스오버 fast=36, slow=125 |
5.6% | -24.0% | 0.55 | 0.23 | 2.4x | 31 | 73% |
| EMA 크로스오버 fast=38, slow=89 |
5.0% | -25.6% | 0.52 | 0.20 | 2.2x | 33 | 75% |
| ROC 모멘텀 n=119, threshold=-0.04 |
4.5% | -35.6% | 0.43 | 0.13 | 2.0x | 79 | 84% |
| Supertrend period=17, mult=4.6 |
1.2% | -30.2% | 0.17 | 0.04 | 1.2x | 85 | 62% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=28, mult=3.9 |
-0.0% | -23.5% | 0.02 | -0.00 | 1.0x | 35 | 19% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-0.8% | -37.1% | -0.03 | -0.02 | 0.9x | 217 | 63% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
-0.1% | -8.4% | -0.09 | -0.02 | 1.0x | 2 | 1% |
| MACD fast=18, slow=47, signal=17 |
-2.0% | -41.4% | -0.16 | -0.05 | 0.7x | 196 | 51% |
| ADX / DI 방향성 period=19, threshold=28 |
-0.4% | -12.0% | -0.17 | -0.04 | 0.9x | 22 | 4% |
| Buy and hold | 9.6% | -38.2% | 0.64 | 0.25 | 4.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 76 days