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 12.6%, MDD -58.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.4%, drawdown -83.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -58.0%, Sharpe 0.54, 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 12.6%, 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 |
12.6% | -58.0% | 0.54 | 0.22 | 23.3x | 101 | 51% |
| ADX / DI 방향성 period=33, threshold=32 |
7.2% | -50.5% | 0.50 | 0.14 | 6.4x | 16 | 5% |
| EMA 크로스오버 fast=76, slow=171 |
10.8% | -59.4% | 0.49 | 0.18 | 15.4x | 39 | 50% |
| Donchian 채널 돌파 entryN=123, exitN=41 |
10.0% | -61.3% | 0.49 | 0.16 | 12.6x | 38 | 33% |
| ROC 모멘텀 n=138, threshold=0.13 |
9.6% | -55.2% | 0.47 | 0.17 | 11.5x | 162 | 31% |
| 볼린저 밴드 돌파 n=24, k=3 |
6.5% | -46.4% | 0.41 | 0.14 | 5.3x | 75 | 12% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=8, mult=4 |
6.6% | -71.0% | 0.41 | 0.09 | 5.4x | 48 | 14% |
| Supertrend period=9, mult=3.8 |
7.3% | -83.3% | 0.38 | 0.09 | 6.5x | 131 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.4% | -76.6% | 0.23 | 0.03 | 1.9x | 197 | 48% |
| MACD fast=17, slow=24, signal=19 |
1.6% | -69.4% | 0.21 | 0.02 | 1.5x | 331 | 52% |
| Buy and hold | 10.4% | -83.9% | 0.45 | 0.12 | 13.9x | 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