Trend-Following Backtester · Guide · backtest 한국어

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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 9.0%, MDD -45.1%).

Data 1988-01-28 ~ 2026-07-31daily bars 9,872 (38.5 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 11.5%, 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 9.0%, MDD -45.1%, exposure 80%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.0%p lower than buy and hold, while drawdown improves by 42.4%p (CAGR 9.0%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=38, threshold=24
6.5%-23.3%0.580.2811.3x4623%
Donchian 채널 돌파
entryN=27, exitN=82
9.0%-45.1%0.520.2027.1x9580%
Keltner 채널 돌파
emaPeriod=44, atrPeriod=11, mult=4
5.5%-28.5%0.470.197.8x9128%
SMA 크로스오버
fast=53, slow=195
6.5%-40.9%0.450.1611.4x5960%
EMA 크로스오버
fast=26, slow=68
6.0%-64.6%0.410.099.3x13561%
Supertrend
period=13, mult=4.2
4.7%-57.3%0.340.085.9x19159%
Parabolic SAR
step=0.005, maxStep=0.36
4.7%-51.7%0.340.095.9x26856%
볼린저 밴드 돌파
n=28, k=2.8
2.8%-41.6%0.300.072.9x11621%
MACD
fast=39, slow=46, signal=31
3.0%-43.3%0.260.073.1x25553%
ROC 모멘텀
n=96, threshold=0.1
2.7%-72.2%0.260.042.8x28331%
Buy and hold11.5%-65.7%0.570.1867.2x1100%
1x 10x 1989 1994 1999 2004 2009 2014 2019 2024 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -16% -33% -49% -66% 1989 1994 1999 2004 2009 2014 2019 2024 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -23.3% (1988-11-28 → 1991-02-27), recovered after 974 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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