Trend-Following Backtester · Guide · backtest 한국어
equity · TW
WNC Corporation backtest
10 trend-following strategies were compared on the full daily history of WNC Corporation. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 7.8%, MDD -48.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.7%, drawdown -78.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.8%, MDD -54.7%, Sharpe 0.56, 69% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 7.8%, MDD -48.5%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=29 |
13.8% | -54.7% | 0.56 | 0.25 | 19.1x | 118 | 69% |
| Supertrend period=8, mult=3.6 |
9.8% | -54.9% | 0.46 | 0.18 | 8.4x | 112 | 58% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
7.4% | -60.9% | 0.43 | 0.12 | 5.1x | 62 | 25% |
| SMA 크로스오버 fast=27, slow=132 |
8.5% | -70.1% | 0.42 | 0.12 | 6.5x | 55 | 55% |
| ROC 모멘텀 n=30, threshold=-0.12 |
8.5% | -80.0% | 0.41 | 0.11 | 6.4x | 194 | 86% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.8% | -48.5% | 0.41 | 0.16 | 5.5x | 164 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=3 |
6.2% | -43.0% | 0.38 | 0.14 | 4.0x | 76 | 28% |
| EMA 크로스오버 fast=28, slow=109 |
6.8% | -68.7% | 0.37 | 0.10 | 4.5x | 53 | 55% |
| ADX / DI 방향성 period=19, threshold=27 |
5.0% | -38.0% | 0.36 | 0.13 | 3.0x | 72 | 14% |
| MACD fast=18, slow=42, signal=17 |
4.6% | -66.8% | 0.30 | 0.07 | 2.8x | 256 | 53% |
| Buy and hold | 7.7% | -78.9% | 0.39 | 0.10 | 5.4x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 29 days