Trend-Following Backtester · Guide · backtest 한국어
equity · BR
WEG SA backtest
10 trend-following strategies were compared on the full daily history of WEG SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.8%, MDD -46.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.6%, drawdown -64.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.8%, MDD -46.8%, Sharpe 0.90, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 18.0%p (CAGR 22.8%, MDD -46.8%, exposure 68%).
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=45, slow=135 |
22.8% | -46.8% | 0.90 | 0.49 | 234.6x | 34 | 68% |
| ROC 모멘텀 n=107, threshold=-0.05 |
21.9% | -46.8% | 0.84 | 0.47 | 190.9x | 148 | 78% |
| EMA 크로스오버 fast=51, slow=209 |
20.3% | -46.8% | 0.80 | 0.43 | 137.3x | 22 | 77% |
| Parabolic SAR step=0.01, maxStep=0.06 |
18.1% | -43.0% | 0.80 | 0.42 | 82.4x | 227 | 59% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=14, mult=3.2 |
16.0% | -33.9% | 0.79 | 0.47 | 51.5x | 60 | 41% |
| 볼린저 밴드 돌파 n=16, k=2 |
13.9% | -27.7% | 0.76 | 0.50 | 31.7x | 204 | 38% |
| Donchian 채널 돌파 entryN=63, exitN=65 |
17.3% | -52.1% | 0.74 | 0.33 | 68.8x | 50 | 68% |
| ADX / DI 방향성 period=32, threshold=20 |
11.8% | -30.9% | 0.66 | 0.38 | 19.3x | 70 | 38% |
| Supertrend period=13, mult=4.7 |
13.0% | -45.3% | 0.64 | 0.29 | 25.5x | 80 | 59% |
| MACD fast=16, slow=22, signal=18 |
8.1% | -49.3% | 0.47 | 0.16 | 7.9x | 327 | 49% |
| Buy and hold | 23.6% | -64.9% | 0.80 | 0.36 | 278.4x | 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 45-day average price crosses above the 135-day average
- Sell — Sell (to cash) when the 45-day average falls below the 135-day average