Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Wynn Macau Ltd. backtest
10 trend-following strategies were compared on the full daily history of Wynn Macau Ltd.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -14.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.7%, drawdown -92.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -48.6%, Sharpe 0.35, 30% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 1.3%, MDD -14.7%, exposure 1%).
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=89, exitN=33 |
5.4% | -48.6% | 0.35 | 0.11 | 2.4x | 28 | 30% |
| ROC 모멘텀 n=129, threshold=0.11 |
2.9% | -57.1% | 0.24 | 0.05 | 1.6x | 114 | 35% |
| SMA 크로스오버 fast=9, slow=126 |
2.8% | -69.2% | 0.24 | 0.04 | 1.6x | 59 | 45% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=11, mult=3.2 |
1.9% | -23.8% | 0.22 | 0.08 | 1.4x | 16 | 4% |
| ADX / DI 방향성 period=19, threshold=39 |
1.3% | -14.7% | 0.22 | 0.09 | 1.2x | 8 | 1% |
| EMA 크로스오버 fast=39, slow=82 |
2.1% | -69.4% | 0.21 | 0.03 | 1.4x | 37 | 44% |
| MACD fast=8, slow=40, signal=19 |
-2.0% | -62.8% | 0.09 | -0.03 | 0.7x | 250 | 50% |
| 볼린저 밴드 돌파 n=21, k=3.2 |
-0.2% | -20.7% | -0.01 | -0.01 | 1.0x | 10 | 2% |
| Supertrend period=12, mult=4 |
-4.9% | -85.7% | -0.01 | -0.06 | 0.4x | 77 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-5.7% | -87.5% | -0.03 | -0.06 | 0.4x | 210 | 50% |
| Buy and hold | -3.7% | -92.0% | 0.14 | -0.04 | 0.5x | 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 89 days
- Sell — Sell when price breaks below the lowest low of the last 33 days