Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Total Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Total Corporate Bond ETF. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.6%, MDD -0.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.4%, drawdown -25.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.6%, MDD -0.7%, Sharpe 0.46, 0% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.8%, MDD -6.5%, exposure 18%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 0.6%, MDD -0.7%, 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=12, threshold=0.08 |
0.6% | -0.7% | 0.46 | 0.90 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=8, mult=3.5 |
0.8% | -6.5% | 0.32 | 0.12 | 1.1x | 14 | 18% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
0.3% | -1.5% | 0.27 | 0.18 | 1.0x | 2 | 1% |
| Supertrend period=29, mult=4.6 |
0.6% | -13.9% | 0.15 | 0.04 | 1.1x | 30 | 49% |
| SMA 크로스오버 fast=68, slow=365 |
0.1% | -19.7% | 0.05 | 0.01 | 1.0x | 8 | 48% |
| Donchian 채널 돌파 entryN=58, exitN=25 |
-0.1% | -9.6% | -0.01 | -0.01 | 1.0x | 20 | 27% |
| ADX / DI 방향성 period=36, threshold=27 |
-0.0% | -4.1% | -0.03 | -0.01 | 1.0x | 4 | 3% |
| EMA 크로스오버 fast=26, slow=59 |
-1.0% | -18.5% | -0.20 | -0.05 | 0.9x | 26 | 46% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-1.4% | -18.9% | -0.30 | -0.07 | 0.9x | 46 | 51% |
| MACD fast=23, slow=45, signal=30 |
-2.2% | -21.0% | -0.46 | -0.11 | 0.8x | 58 | 51% |
| Buy and hold | -1.4% | -25.6% | -0.15 | -0.06 | 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 12-day return is greater than 8%
- Sell — Sell when the 12-day return drops to 8% or below