Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Russell 3000 ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Russell 3000 ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -34.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -16.2%, Sharpe 0.73, 73% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.7%, MDD -27.4%, exposure 80%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=79, exitN=75 |
7.5% | -16.2% | 0.73 | 0.46 | 3.1x | 23 | 73% |
| EMA 크로스오버 fast=52, slow=119 |
7.7% | -27.4% | 0.65 | 0.28 | 3.3x | 19 | 80% |
| SMA 크로스오버 fast=34, slow=193 |
7.4% | -32.0% | 0.62 | 0.23 | 3.1x | 15 | 78% |
| Supertrend period=21, mult=5 |
5.7% | -18.1% | 0.59 | 0.31 | 2.4x | 79 | 66% |
| ROC 모멘텀 n=57, threshold=-0.04 |
5.9% | -35.3% | 0.52 | 0.17 | 2.5x | 85 | 85% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.1% | -34.2% | 0.16 | 0.03 | 1.2x | 261 | 65% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=16, mult=2.7 |
0.6% | -23.4% | 0.11 | 0.03 | 1.1x | 95 | 61% |
| MACD fast=19, slow=59, signal=12 |
-0.3% | -31.1% | 0.02 | -0.01 | 1.0x | 200 | 53% |
| ADX / DI 방향성 period=38, threshold=20 |
0.0% | -10.1% | 0.01 | 0.00 | 1.0x | 8 | 3% |
| 볼린저 밴드 돌파 n=48, k=1.2 |
-0.4% | -35.0% | -0.00 | -0.01 | 0.9x | 133 | 58% |
| Buy and hold | 12.5% | -34.6% | 0.79 | 0.36 | 6.6x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 75 days