Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Wisetech Global Ltd. backtest
10 trend-following strategies were compared on the full daily history of Wisetech Global Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.5%, MDD -53.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.2%, drawdown -79.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.4%, MDD -40.9%, Sharpe 0.78, 33% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.5%, MDD -53.1%, exposure 74%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.8%p lower than buy and hold, while drawdown improves by 38.4%p (CAGR 24.5%, MDD -53.1%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=2.3 |
18.4% | -40.9% | 0.78 | 0.45 | 5.8x | 57 | 33% |
| Donchian 채널 돌파 entryN=22, exitN=78 |
24.5% | -53.1% | 0.73 | 0.46 | 9.7x | 25 | 74% |
| EMA 크로스오버 fast=46, slow=207 |
22.2% | -47.8% | 0.70 | 0.46 | 8.0x | 10 | 70% |
| SMA 크로스오버 fast=56, slow=69 |
20.9% | -39.4% | 0.68 | 0.53 | 7.2x | 42 | 60% |
| MACD fast=11, slow=17, signal=13 |
19.8% | -55.0% | 0.68 | 0.36 | 6.5x | 178 | 51% |
| Parabolic SAR step=0.025, maxStep=0.16 |
19.1% | -56.9% | 0.66 | 0.34 | 6.1x | 223 | 55% |
| Supertrend period=8, mult=4.4 |
18.8% | -50.3% | 0.66 | 0.37 | 6.0x | 41 | 59% |
| ROC 모멘텀 n=69, threshold=-0.02 |
19.6% | -55.0% | 0.65 | 0.36 | 6.4x | 75 | 62% |
| ADX / DI 방향성 period=27, threshold=14 |
16.3% | -34.9% | 0.63 | 0.47 | 4.8x | 101 | 49% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=12, mult=1.8 |
14.6% | -51.7% | 0.62 | 0.28 | 4.1x | 78 | 41% |
| Buy and hold | 25.2% | -79.3% | 0.69 | 0.32 | 10.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 28-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 28-day middle average