Trend-Following Backtester · Guide · backtest 한국어
equity · TW
WPG Holding Co Ltd backtest
10 trend-following strategies were compared on the full daily history of WPG Holding Co Ltd. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.7%, MDD -49.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.8%, drawdown -94.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -57.5%, Sharpe 0.53, 48% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 7.7%, MDD -49.7%, exposure 47%).
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=41, exitN=34 |
10.8% | -57.5% | 0.53 | 0.19 | 15.3x | 79 | 48% |
| SMA 크로스오버 fast=25, slow=58 |
10.7% | -60.7% | 0.52 | 0.18 | 15.1x | 116 | 51% |
| Supertrend period=14, mult=4.7 |
9.7% | -56.6% | 0.48 | 0.17 | 11.8x | 89 | 52% |
| ADX / DI 방향성 period=33, threshold=13 |
8.7% | -61.2% | 0.47 | 0.14 | 9.1x | 177 | 40% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=11, mult=2.1 |
7.8% | -54.3% | 0.46 | 0.14 | 7.4x | 138 | 32% |
| 볼린저 밴드 돌파 n=39, k=1.8 |
7.5% | -55.1% | 0.44 | 0.14 | 6.9x | 132 | 34% |
| EMA 크로스오버 fast=53, slow=192 |
7.7% | -49.7% | 0.44 | 0.16 | 7.2x | 29 | 47% |
| ROC 모멘텀 n=71, threshold=0.03 |
6.1% | -66.0% | 0.36 | 0.09 | 4.8x | 259 | 43% |
| Parabolic SAR step=0.01, maxStep=0.3 |
5.4% | -62.7% | 0.33 | 0.09 | 4.0x | 316 | 51% |
| MACD fast=24, slow=59, signal=22 |
2.4% | -83.6% | 0.23 | 0.03 | 1.9x | 220 | 53% |
| Buy and hold | 2.8% | -94.2% | 0.27 | 0.03 | 2.1x | 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 41 days
- Sell — Sell when price breaks below the lowest low of the last 34 days