Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
WLD backtest
10 trend-following strategies were compared on the full daily history of WLD. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 97.0%, MDD -48.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -43.7%, drawdown -98.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 97.0%, MDD -48.6%, Sharpe 1.13, 29% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 140.7%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 97.0%, MDD -48.6%, exposure 29%).
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=36, k=1 |
97.0% | -48.6% | 1.13 | 2.00 | 8.2x | 23 | 29% |
| EMA 크로스오버 fast=6, slow=24 |
73.4% | -64.4% | 1.00 | 1.14 | 5.5x | 39 | 35% |
| MACD fast=15, slow=40, signal=19 |
43.5% | -77.8% | 0.84 | 0.56 | 3.1x | 39 | 55% |
| Donchian 채널 돌파 entryN=16, exitN=13 |
43.3% | -81.4% | 0.82 | 0.53 | 3.1x | 27 | 39% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=20, mult=1.2 |
42.1% | -62.9% | 0.80 | 0.67 | 3.0x | 26 | 27% |
| Supertrend period=25, mult=4.1 |
31.8% | -75.8% | 0.74 | 0.42 | 2.4x | 14 | 38% |
| ROC 모멘텀 n=35, threshold=0.04 |
20.5% | -75.0% | 0.66 | 0.27 | 1.8x | 64 | 35% |
| ADX / DI 방향성 period=13, threshold=15 |
12.2% | -86.1% | 0.60 | 0.14 | 1.4x | 77 | 39% |
| SMA 크로스오버 fast=54, slow=103 |
12.1% | -80.3% | 0.57 | 0.15 | 1.4x | 10 | 41% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-21.1% | -82.7% | 0.24 | -0.26 | 0.5x | 68 | 43% |
| Buy and hold | -43.7% | -98.0% | 0.23 | -0.45 | 0.2x | 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 36-day average (1× volatility)
- Sell — Sell when the close falls back to the 36-day middle average