Trend-Following Backtester · Guide · backtest 한국어
etf · GB
WisdomTree Emerging Markets High Dividend UCITS ETF USD backtest
10 trend-following strategies were compared on the full daily history of WisdomTree Emerging Markets High Dividend UCITS ETF USD. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -11.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.5%, drawdown -57.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -24.8%, Sharpe 0.37, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 0.6%, MDD -11.7%, exposure 4%).
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=66, slow=225 |
5.5% | -24.8% | 0.37 | 0.22 | 1.9x | 9 | 57% |
| ROC 모멘텀 n=39, threshold=-0.08 |
4.9% | -26.4% | 0.33 | 0.19 | 1.8x | 29 | 92% |
| EMA 크로스오버 fast=74, slow=150 |
3.8% | -30.3% | 0.29 | 0.12 | 1.6x | 11 | 59% |
| Donchian 채널 돌파 entryN=98, exitN=75 |
2.0% | -41.9% | 0.19 | 0.05 | 1.3x | 13 | 48% |
| ADX / DI 방향성 period=27, threshold=27 |
0.6% | -11.7% | 0.19 | 0.05 | 1.1x | 8 | 4% |
| MACD fast=17, slow=25, signal=11 |
-3.6% | -60.8% | -0.09 | -0.06 | 0.7x | 189 | 50% |
| Supertrend period=25, mult=4.4 |
-5.4% | -70.0% | -0.19 | -0.08 | 0.5x | 87 | 52% |
| Parabolic SAR step=0.035, maxStep=0.06 |
-7.5% | -69.4% | -0.23 | -0.11 | 0.4x | 181 | 54% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=4 |
-3.9% | -50.7% | -0.31 | -0.08 | 0.6x | 22 | 7% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
-3.6% | -42.8% | -0.32 | -0.09 | 0.6x | 6 | 1% |
| Buy and hold | -0.5% | -57.3% | 0.11 | -0.01 | 0.9x | 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 66-day average price crosses above the 225-day average
- Sell — Sell (to cash) when the 66-day average falls below the 225-day average