Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Wilmar International Limited backtest
10 trend-following strategies were compared on the full daily history of Wilmar International Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.2%, MDD -46.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.4%, drawdown -68.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.9%, MDD -45.3%, Sharpe 0.44, 18% exposure.
CAGR reference leader: Supertrend — CAGR 6.2%, MDD -46.0%, exposure 48%.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 22.8%p (CAGR 6.2%, MDD -46.0%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=72, threshold=0.13 |
5.9% | -45.3% | 0.44 | 0.13 | 3.2x | 120 | 18% |
| 볼린저 밴드 돌파 n=28, k=2.1 |
5.1% | -37.5% | 0.39 | 0.14 | 2.7x | 112 | 25% |
| Supertrend period=29, mult=2.5 |
6.2% | -46.0% | 0.39 | 0.13 | 3.3x | 156 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=2.7 |
5.1% | -44.6% | 0.38 | 0.11 | 2.7x | 66 | 26% |
| ADX / DI 방향성 period=32, threshold=15 |
4.5% | -56.7% | 0.36 | 0.08 | 2.4x | 86 | 20% |
| MACD fast=21, slow=41, signal=22 |
5.6% | -59.8% | 0.36 | 0.09 | 3.0x | 184 | 52% |
| Donchian 채널 돌파 entryN=14, exitN=25 |
5.2% | -68.3% | 0.34 | 0.08 | 2.8x | 122 | 59% |
| EMA 크로스오버 fast=50, slow=61 |
4.4% | -73.9% | 0.31 | 0.06 | 2.4x | 61 | 49% |
| SMA 크로스오버 fast=7, slow=66 |
3.5% | -69.6% | 0.27 | 0.05 | 2.0x | 127 | 49% |
| Parabolic SAR step=0.01, maxStep=0.16 |
0.3% | -75.8% | 0.12 | 0.00 | 1.1x | 246 | 49% |
| Buy and hold | 6.4% | -68.1% | 0.36 | 0.09 | 3.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 72-day return is greater than 13%
- Sell — Sell when the 72-day return drops to 13% or below