Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Emerging Markets Government Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Emerging Markets Government Bond ETF. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.5%, drawdown -32.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.19, 0% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.1%, MDD -6.7%, exposure 22%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 0.1%, MDD -0.5%, 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=15, threshold=0.12 |
0.1% | -0.5% | 0.19 | 0.16 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=42, k=2.9 |
0.1% | -3.8% | 0.08 | 0.02 | 1.0x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=7, mult=3.4 |
0.1% | -6.7% | 0.05 | 0.01 | 1.0x | 30 | 22% |
| Donchian 채널 돌파 entryN=56, exitN=62 |
-1.0% | -17.3% | -0.18 | -0.06 | 0.9x | 28 | 51% |
| Supertrend period=17, mult=4.1 |
-1.1% | -20.3% | -0.18 | -0.06 | 0.9x | 60 | 55% |
| SMA 크로스오버 fast=8, slow=127 |
-1.2% | -18.8% | -0.22 | -0.06 | 0.9x | 42 | 51% |
| EMA 크로스오버 fast=18, slow=72 |
-1.3% | -18.3% | -0.26 | -0.07 | 0.8x | 48 | 52% |
| ADX / DI 방향성 period=30, threshold=26 |
-0.1% | -0.9% | -0.36 | -0.08 | 1.0x | 2 | 0% |
| MACD fast=18, slow=42, signal=19 |
-3.7% | -40.9% | -0.70 | -0.09 | 0.6x | 136 | 48% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-5.3% | -51.1% | -0.93 | -0.10 | 0.5x | 172 | 55% |
| Buy and hold | -1.5% | -32.9% | -0.13 | -0.05 | 0.8x | 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 15-day return is greater than 12%
- Sell — Sell when the 15-day return drops to 12% or below