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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -69.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -63.8%, Sharpe 0.34, 84% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=74 |
5.7% | -63.8% | 0.34 | 0.09 | 5.2x | 83 | 84% |
| EMA 크로스오버 fast=38, slow=118 |
4.6% | -72.3% | 0.31 | 0.06 | 3.9x | 59 | 61% |
| SMA 크로스오버 fast=55, slow=211 |
4.4% | -60.6% | 0.31 | 0.07 | 3.6x | 42 | 59% |
| Parabolic SAR step=0.005, maxStep=0.08 |
4.1% | -56.9% | 0.29 | 0.07 | 3.3x | 213 | 55% |
| ROC 모멘텀 n=141, threshold=-0.09 |
1.9% | -78.7% | 0.20 | 0.02 | 1.8x | 205 | 81% |
| ADX / DI 방향성 period=28, threshold=36 |
0.6% | -10.9% | 0.17 | 0.06 | 1.2x | 10 | 2% |
| Supertrend period=29, mult=3.3 |
0.8% | -54.6% | 0.15 | 0.02 | 1.3x | 219 | 52% |
| MACD fast=20, slow=56, signal=20 |
0.5% | -76.9% | 0.13 | 0.01 | 1.2x | 283 | 50% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
-0.8% | -64.8% | 0.05 | -0.01 | 0.8x | 195 | 40% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=19, mult=4 |
-0.9% | -60.4% | 0.01 | -0.01 | 0.8x | 96 | 23% |
| Buy and hold | 9.7% | -69.6% | 0.46 | 0.14 | 16.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 74 days