Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Wan Hai Lines Ltd. backtest
10 trend-following strategies were compared on the full daily history of Wan Hai Lines Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.8%, MDD -58.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.6%, drawdown -83.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.8%, MDD -58.0%, Sharpe 0.58, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 13.8%, MDD -58.0%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=74 |
13.8% | -58.0% | 0.58 | 0.24 | 31.3x | 101 | 51% |
| EMA 크로스오버 fast=76, slow=171 |
12.0% | -59.4% | 0.52 | 0.20 | 20.8x | 39 | 51% |
| ADX / DI 방향성 period=33, threshold=32 |
7.2% | -50.5% | 0.50 | 0.14 | 6.4x | 16 | 5% |
| Donchian 채널 돌파 entryN=123, exitN=41 |
10.5% | -61.3% | 0.50 | 0.17 | 14.4x | 39 | 33% |
| ROC 모멘텀 n=138, threshold=0.13 |
10.5% | -55.2% | 0.50 | 0.19 | 14.4x | 163 | 31% |
| 볼린저 밴드 돌파 n=24, k=3 |
7.7% | -46.4% | 0.46 | 0.17 | 7.2x | 75 | 13% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=8, mult=4 |
7.1% | -71.0% | 0.43 | 0.10 | 6.2x | 49 | 15% |
| Supertrend period=9, mult=3.8 |
8.5% | -83.3% | 0.42 | 0.10 | 8.7x | 131 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.5% | -76.6% | 0.27 | 0.05 | 2.5x | 197 | 48% |
| MACD fast=17, slow=24, signal=19 |
2.7% | -69.4% | 0.24 | 0.04 | 2.0x | 331 | 53% |
| Buy and hold | 11.6% | -83.9% | 0.47 | 0.14 | 18.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 52-day average falls below the 74-day average