Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard Total International Stock ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard Total International Stock ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.7%, MDD -28.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -39.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.7%, MDD -28.2%, Sharpe 0.37, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 11.7%p (CAGR 3.7%, MDD -28.2%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=118 |
3.7% | -28.2% | 0.37 | 0.13 | 1.8x | 27 | 60% |
| EMA 크로스오버 fast=56, slow=167 |
2.2% | -34.9% | 0.25 | 0.06 | 1.4x | 21 | 62% |
| Donchian 채널 돌파 entryN=60, exitN=77 |
1.6% | -29.7% | 0.20 | 0.05 | 1.3x | 29 | 63% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
0.1% | -2.2% | 0.16 | 0.06 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=112, threshold=-0.01 |
0.6% | -32.2% | 0.11 | 0.02 | 1.1x | 113 | 64% |
| Supertrend period=18, mult=4.6 |
-0.7% | -34.3% | -0.01 | -0.02 | 0.9x | 75 | 59% |
| Keltner 채널 돌파 emaPeriod=116, atrPeriod=13, mult=3.6 |
-0.6% | -27.0% | -0.03 | -0.02 | 0.9x | 49 | 45% |
| ADX / DI 방향성 period=50, threshold=10 |
-1.1% | -18.8% | -0.16 | -0.06 | 0.8x | 76 | 21% |
| MACD fast=31, slow=66, signal=18 |
-3.8% | -46.4% | -0.32 | -0.08 | 0.5x | 141 | 49% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-9.7% | -80.7% | -0.85 | -0.12 | 0.2x | 297 | 56% |
| Buy and hold | 3.7% | -39.9% | 0.29 | 0.09 | 1.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 118-day average
- Sell — Sell (to cash) when the 40-day average falls below the 118-day average