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 7.2%, MDD -49.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.4%, drawdown -94.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -57.5%, Sharpe 0.51, 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 7.2%, 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 |
10.3% | -57.5% | 0.51 | 0.18 | 13.7x | 80 | 48% |
| SMA 크로스오버 fast=25, slow=58 |
9.6% | -60.7% | 0.48 | 0.16 | 11.6x | 117 | 52% |
| Supertrend period=14, mult=4.7 |
9.2% | -56.6% | 0.46 | 0.16 | 10.4x | 89 | 52% |
| ADX / DI 방향성 period=33, threshold=13 |
8.2% | -61.2% | 0.45 | 0.13 | 8.2x | 178 | 40% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=11, mult=2.1 |
7.3% | -54.3% | 0.43 | 0.13 | 6.5x | 140 | 32% |
| EMA 크로스오버 fast=53, slow=192 |
7.2% | -49.7% | 0.42 | 0.14 | 6.4x | 29 | 47% |
| 볼린저 밴드 돌파 n=39, k=1.8 |
6.8% | -55.1% | 0.41 | 0.12 | 5.8x | 134 | 34% |
| ROC 모멘텀 n=71, threshold=0.03 |
5.8% | -66.0% | 0.35 | 0.09 | 4.5x | 260 | 43% |
| Parabolic SAR step=0.01, maxStep=0.3 |
4.9% | -62.7% | 0.32 | 0.08 | 3.6x | 318 | 51% |
| MACD fast=24, slow=59, signal=22 |
1.8% | -83.6% | 0.20 | 0.02 | 1.6x | 222 | 53% |
| Buy and hold | 2.4% | -94.2% | 0.26 | 0.03 | 1.9x | 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