Trend-Following Backtester · Guide · backtest 한국어
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Simplex WTI ETF Units backtest
10 trend-following strategies were compared on the full daily history of Simplex WTI ETF Units. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.8%, MDD -26.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.0%, drawdown -93.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -26.5%, Sharpe 0.48, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 66.8%p (CAGR 6.8%, MDD -26.5%, exposure 20%).
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=117, exitN=14 |
6.8% | -26.5% | 0.48 | 0.26 | 3.1x | 52 | 20% |
| 볼린저 밴드 돌파 n=47, k=2.6 |
5.8% | -27.5% | 0.42 | 0.21 | 2.6x | 36 | 19% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=26, mult=2 |
6.4% | -38.1% | 0.40 | 0.17 | 2.9x | 103 | 41% |
| Supertrend period=12, mult=3.6 |
6.8% | -60.9% | 0.39 | 0.11 | 3.1x | 145 | 54% |
| EMA 크로스오버 fast=14, slow=154 |
5.8% | -42.9% | 0.36 | 0.14 | 2.6x | 43 | 50% |
| ROC 모멘텀 n=124, threshold=0.05 |
5.4% | -60.2% | 0.35 | 0.09 | 2.4x | 135 | 43% |
| SMA 크로스오버 fast=36, slow=111 |
4.8% | -60.7% | 0.32 | 0.08 | 2.2x | 46 | 53% |
| MACD fast=18, slow=57, signal=19 |
4.0% | -58.9% | 0.29 | 0.07 | 2.0x | 145 | 54% |
| Parabolic SAR step=0.015, maxStep=0.18 |
1.2% | -54.2% | 0.18 | 0.02 | 1.2x | 257 | 55% |
| ADX / DI 방향성 period=32, threshold=17 |
1.0% | -35.2% | 0.14 | 0.03 | 1.2x | 48 | 13% |
| Buy and hold | -1.0% | -93.3% | 0.16 | -0.01 | 0.8x | 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 117 days
- Sell — Sell when price breaks below the lowest low of the last 14 days