Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Wallenius Wilhelmsen ASA backtest
10 trend-following strategies were compared on the full daily history of Wallenius Wilhelmsen ASA. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.6%, MDD -41.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.5%, drawdown -88.1%).
Sharpe leader (same as main): Supertrend — CAGR 20.5%, MDD -47.2%, Sharpe 0.80, 52% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 18.6%, MDD -41.6%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=3.7 |
20.5% | -47.2% | 0.80 | 0.43 | 20.5x | 69 | 52% |
| ROC 모멘텀 n=72, threshold=0.07 |
18.6% | -41.6% | 0.78 | 0.45 | 15.9x | 151 | 45% |
| Donchian 채널 돌파 entryN=53, exitN=54 |
16.3% | -47.8% | 0.66 | 0.34 | 11.5x | 31 | 57% |
| EMA 크로스오버 fast=24, slow=75 |
15.4% | -51.1% | 0.65 | 0.30 | 10.1x | 47 | 56% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=28, mult=1.8 |
14.1% | -41.5% | 0.63 | 0.34 | 8.5x | 67 | 45% |
| SMA 크로스오버 fast=9, slow=85 |
14.2% | -40.4% | 0.60 | 0.35 | 8.6x | 69 | 56% |
| Parabolic SAR step=0.01, maxStep=0.14 |
14.0% | -59.5% | 0.60 | 0.24 | 8.3x | 202 | 51% |
| ADX / DI 방향성 period=38, threshold=4 |
13.5% | -55.1% | 0.56 | 0.25 | 7.8x | 193 | 58% |
| MACD fast=18, slow=29, signal=12 |
13.2% | -57.7% | 0.56 | 0.23 | 7.4x | 200 | 50% |
| 볼린저 밴드 돌파 n=47, k=1.9 |
6.4% | -39.4% | 0.38 | 0.16 | 2.7x | 85 | 37% |
| Buy and hold | 17.5% | -88.1% | 0.60 | 0.20 | 13.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)