Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Short-Term Inflation-Protected Securities Index Fund ETF Shares backtest
10 trend-following strategies were compared on the full daily history of Vanguard Short-Term Inflation-Protected Securities Index Fund ETF Shares. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -0.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.1%, drawdown -11.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR -0.0%, MDD -7.8%, Sharpe -0.00, 52% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 3.9%p (CAGR -0.1%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=99, slow=214 |
-0.0% | -7.8% | -0.00 | -0.00 | 1.0x | 9 | 52% |
| SMA 크로스오버 fast=56, slow=216 |
-0.3% | -9.3% | -0.15 | -0.03 | 1.0x | 15 | 48% |
| Donchian 채널 돌파 entryN=115, exitN=68 |
-0.3% | -5.5% | -0.16 | -0.05 | 1.0x | 16 | 42% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=4 |
-0.1% | -0.8% | -0.22 | -0.07 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=48, threshold=0.03 |
-0.1% | -0.7% | -0.27 | -0.07 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
-0.2% | -3.2% | -0.30 | -0.06 | 1.0x | 4 | 2% |
| ADX / DI 방향성 period=38, threshold=45 |
-0.1% | -1.3% | -0.45 | -0.07 | 1.0x | 2 | 0% |
| Supertrend period=37, mult=4.5 |
-2.5% | -29.3% | -1.12 | -0.08 | 0.7x | 66 | 55% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.9% | -33.1% | -1.25 | -0.09 | 0.7x | 96 | 52% |
| MACD fast=35, slow=59, signal=40 |
-3.2% | -36.4% | -1.39 | -0.09 | 0.6x | 82 | 51% |
| Buy and hold | -0.1% | -11.7% | -0.01 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 99-day EMA crosses above the 214-day EMA
- Sell — Sell when the 99-day EMA falls below the 214-day EMA