Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Winpak Ltd. backtest
10 trend-following strategies were compared on the full daily history of Winpak Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -69.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.2%, MDD -72.7%, Sharpe 0.44, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
9.2% | -72.7% | 0.44 | 0.13 | 14.1x | 5 | 100% |
| Donchian 채널 돌파 entryN=4, exitN=87 |
7.4% | -73.5% | 0.39 | 0.10 | 8.5x | 105 | 93% |
| EMA 크로스오버 fast=36, slow=124 |
4.6% | -71.9% | 0.31 | 0.06 | 3.9x | 57 | 61% |
| SMA 크로스오버 fast=55, slow=208 |
4.5% | -58.5% | 0.31 | 0.08 | 3.7x | 43 | 58% |
| Parabolic SAR step=0.005, maxStep=0.08 |
4.0% | -56.9% | 0.29 | 0.07 | 3.3x | 214 | 54% |
| ADX / DI 방향성 period=20, threshold=36 |
1.2% | -13.9% | 0.23 | 0.08 | 1.4x | 22 | 4% |
| MACD fast=24, slow=31, signal=28 |
0.9% | -69.9% | 0.15 | 0.01 | 1.3x | 282 | 50% |
| Supertrend period=29, mult=3.3 |
0.7% | -54.6% | 0.14 | 0.01 | 1.2x | 220 | 52% |
| 볼린저 밴드 돌파 n=46, k=1.8 |
0.3% | -68.0% | 0.11 | 0.01 | 1.1x | 162 | 36% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=8, mult=4 |
-0.0% | -57.5% | 0.06 | -0.00 | 1.0x | 86 | 19% |
| Buy and hold | 9.6% | -69.6% | 0.45 | 0.14 | 15.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -12%
- Sell — Sell when the 1-day return drops to -12% or below