Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Wafer Works Corp. backtest
10 trend-following strategies were compared on the full daily history of Wafer Works Corp.. 10 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 6.5%, MDD -40.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.0%, drawdown -94.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -68.3%, Sharpe 0.51, 30% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 6.5%, MDD -40.1%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=109, exitN=48 |
11.5% | -68.3% | 0.51 | 0.17 | 7.6x | 21 | 30% |
| ADX / DI 방향성 period=24, threshold=35 |
6.5% | -40.1% | 0.49 | 0.16 | 3.2x | 8 | 4% |
| 볼린저 밴드 돌파 n=20, k=1.3 |
10.6% | -59.8% | 0.49 | 0.18 | 6.6x | 212 | 37% |
| EMA 크로스오버 fast=51, slow=201 |
10.6% | -60.4% | 0.49 | 0.18 | 6.6x | 17 | 30% |
| MACD fast=9, slow=23, signal=19 |
10.7% | -64.6% | 0.48 | 0.17 | 6.7x | 267 | 52% |
| SMA 크로스오버 fast=22, slow=168 |
10.7% | -76.4% | 0.47 | 0.14 | 6.7x | 37 | 44% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=24, mult=1 |
9.7% | -62.3% | 0.47 | 0.16 | 5.7x | 214 | 34% |
| Supertrend period=13, mult=1.6 |
9.9% | -71.5% | 0.46 | 0.14 | 5.8x | 292 | 45% |
| ROC 모멘텀 n=140, threshold=0.1 |
9.1% | -78.4% | 0.45 | 0.12 | 5.1x | 111 | 30% |
| Parabolic SAR step=0.02, maxStep=0.26 |
8.7% | -71.0% | 0.42 | 0.12 | 4.7x | 343 | 48% |
| Buy and hold | -2.0% | -94.9% | 0.20 | -0.02 | 0.7x | 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 109 days
- Sell — Sell when price breaks below the lowest low of the last 48 days