Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Wavestone SA backtest
10 trend-following strategies were compared on the full daily history of Wavestone SA. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.3%, MDD -18.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.2%, drawdown -95.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.7%, MDD -19.3%, Sharpe 0.70, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.5%, MDD -84.0%, exposure 59%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 76.3%p (CAGR 6.3%, MDD -18.9%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=9, threshold=50 |
7.7% | -19.3% | 0.70 | 0.40 | 7.1x | 70 | 8% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
6.0% | -19.3% | 0.66 | 0.31 | 4.8x | 18 | 3% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=12, mult=3.6 |
6.3% | -18.9% | 0.63 | 0.33 | 5.0x | 40 | 6% |
| SMA 크로스오버 fast=85, slow=268 |
16.5% | -84.0% | 0.42 | 0.20 | 58.0x | 20 | 59% |
| EMA 크로스오버 fast=46, slow=193 |
12.7% | -81.8% | 0.39 | 0.15 | 24.0x | 30 | 56% |
| ROC 모멘텀 n=112, threshold=0.09 |
15.7% | -76.6% | 0.38 | 0.20 | 48.4x | 214 | 44% |
| Donchian 채널 돌파 entryN=47, exitN=66 |
5.6% | -94.4% | 0.31 | 0.06 | 4.3x | 50 | 66% |
| Supertrend period=11, mult=5 |
0.7% | -95.1% | 0.22 | 0.01 | 1.2x | 106 | 56% |
| MACD fast=19, slow=30, signal=19 |
1.2% | -84.2% | 0.20 | 0.01 | 1.4x | 315 | 51% |
| Parabolic SAR step=0.035, maxStep=0.24 |
-7.3% | -98.7% | 0.10 | -0.07 | 0.1x | 712 | 52% |
| Buy and hold | 6.2% | -95.6% | 0.37 | 0.06 | 4.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 9-day) is ≥ 50
- Sell — Sell when direction flips or the trend weakens (ADX < 50)