Trend-Following Backtester · Guide · backtest 한국어
etf · AU
WAM Capital Ltd. backtest
10 trend-following strategies were compared on the full daily history of WAM Capital Ltd.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.6%, MDD -10.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.7%, drawdown -64.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.6%, MDD -10.9%, Sharpe 0.17, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 1.2%, MDD -46.9%, exposure 63%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 53.6%p (CAGR 0.6%, MDD -10.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=9, mult=4 |
0.6% | -10.9% | 0.17 | 0.05 | 1.2x | 16 | 3% |
| EMA 크로스오버 fast=36, slow=270 |
1.2% | -46.9% | 0.15 | 0.03 | 1.4x | 40 | 63% |
| SMA 크로스오버 fast=36, slow=194 |
0.9% | -55.0% | 0.13 | 0.02 | 1.3x | 56 | 57% |
| Donchian 채널 돌파 entryN=31, exitN=49 |
0.1% | -46.6% | 0.08 | 0.00 | 1.0x | 98 | 62% |
| Supertrend period=26, mult=5 |
-0.5% | -52.0% | 0.04 | -0.01 | 0.9x | 94 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.6% | -53.0% | 0.03 | -0.01 | 0.8x | 160 | 53% |
| ADX / DI 방향성 period=26, threshold=17 |
-0.4% | -53.9% | 0.02 | -0.01 | 0.9x | 178 | 30% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
-0.2% | -23.2% | 0.01 | -0.01 | 0.9x | 40 | 12% |
| MACD fast=19, slow=47, signal=21 |
-2.6% | -71.8% | -0.12 | -0.04 | 0.5x | 256 | 54% |
| ROC 모멘텀 n=133, threshold=0.13 |
-1.6% | -51.6% | -0.15 | -0.03 | 0.6x | 144 | 14% |
| Buy and hold | 0.7% | -64.5% | 0.14 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 19-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average