Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Wesfarmers Limited backtest
10 trend-following strategies were compared on the full daily history of Wesfarmers Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.6%, MDD -45.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -65.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.5%, MDD -23.3%, Sharpe 0.58, 23% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.6%, MDD -45.1%, exposure 80%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.7%p lower than buy and hold, while drawdown improves by 42.4%p (CAGR 8.6%, MDD -45.1%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=24 |
6.5% | -23.3% | 0.58 | 0.28 | 11.3x | 46 | 23% |
| Donchian 채널 돌파 entryN=27, exitN=82 |
8.6% | -45.1% | 0.51 | 0.19 | 24.1x | 95 | 80% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=4 |
5.3% | -28.5% | 0.46 | 0.19 | 7.4x | 92 | 28% |
| SMA 크로스오버 fast=53, slow=195 |
6.2% | -40.9% | 0.43 | 0.15 | 10.2x | 59 | 60% |
| EMA 크로스오버 fast=26, slow=68 |
5.6% | -64.6% | 0.39 | 0.09 | 8.2x | 135 | 61% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.7% | -51.7% | 0.34 | 0.09 | 5.9x | 268 | 55% |
| Supertrend period=13, mult=4.2 |
4.5% | -57.3% | 0.34 | 0.08 | 5.6x | 192 | 59% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
2.8% | -41.6% | 0.30 | 0.07 | 2.9x | 116 | 21% |
| MACD fast=39, slow=46, signal=31 |
3.0% | -43.3% | 0.26 | 0.07 | 3.1x | 256 | 52% |
| ROC 모멘텀 n=96, threshold=0.1 |
2.3% | -75.4% | 0.23 | 0.03 | 2.4x | 286 | 32% |
| Buy and hold | 11.2% | -65.7% | 0.55 | 0.17 | 59.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)