Trend-Following Backtester · Guide · backtest 한국어
etf · US
Vanguard International High Dividend Yield ETF backtest
10 trend-following strategies were compared on the full daily history of Vanguard International High Dividend Yield 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 5.8%, MDD -28.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -45.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -28.2%, Sharpe 0.57, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 17.0%p (CAGR 5.8%, MDD -28.2%, exposure 65%).
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=32, slow=142 |
5.8% | -28.2% | 0.57 | 0.21 | 1.8x | 15 | 65% |
| EMA 크로스오버 fast=50, slow=183 |
4.5% | -27.2% | 0.47 | 0.17 | 1.6x | 15 | 65% |
| ROC 모멘텀 n=149, threshold=-0.09 |
5.0% | -32.6% | 0.45 | 0.15 | 1.7x | 15 | 81% |
| Donchian 채널 돌파 entryN=42, exitN=59 |
2.8% | -22.2% | 0.31 | 0.13 | 1.3x | 23 | 65% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
1.7% | -15.1% | 0.24 | 0.11 | 1.2x | 53 | 43% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=4 |
0.2% | -2.6% | 0.20 | 0.10 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=39, threshold=12 |
0.9% | -16.0% | 0.17 | 0.06 | 1.1x | 52 | 29% |
| Supertrend period=23, mult=4.8 |
-0.7% | -38.9% | -0.00 | -0.02 | 0.9x | 55 | 61% |
| MACD fast=18, slow=36, signal=7 |
-1.1% | -30.8% | -0.06 | -0.04 | 0.9x | 169 | 50% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-3.6% | -44.0% | -0.28 | -0.08 | 0.7x | 217 | 57% |
| Buy and hold | 6.8% | -45.2% | 0.47 | 0.15 | 2.0x | 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 32-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 32-day average falls below the 142-day average