Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree Emerging Markets High Dividend Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree Emerging Markets High Dividend Fund. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -10.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.3%, drawdown -57.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.8%, MDD -34.8%, Sharpe 0.20, 56% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 0.3%, MDD -10.8%, exposure 2%).
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=23, slow=95 |
1.8% | -34.8% | 0.20 | 0.05 | 1.4x | 59 | 56% |
| Donchian 채널 돌파 entryN=34, exitN=61 |
1.1% | -32.8% | 0.15 | 0.03 | 1.2x | 53 | 64% |
| EMA 크로스오버 fast=19, slow=85 |
0.9% | -45.7% | 0.14 | 0.02 | 1.2x | 57 | 59% |
| ROC 모멘텀 n=84, threshold=0.24 |
0.3% | -10.8% | 0.10 | 0.03 | 1.1x | 22 | 2% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=24, mult=3.1 |
0.2% | -8.8% | 0.07 | 0.02 | 1.0x | 16 | 3% |
| Supertrend period=25, mult=4.9 |
-0.9% | -59.0% | -0.00 | -0.02 | 0.8x | 91 | 56% |
| 볼린저 밴드 돌파 n=48, k=1.3 |
-0.7% | -36.9% | -0.01 | -0.02 | 0.9x | 119 | 40% |
| MACD fast=18, slow=54, signal=18 |
-3.1% | -55.7% | -0.15 | -0.06 | 0.5x | 206 | 49% |
| ADX / DI 방향성 period=25, threshold=33 |
-0.2% | -6.0% | -0.21 | -0.04 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-7.7% | -82.4% | -0.46 | -0.09 | 0.2x | 332 | 53% |
| Buy and hold | 0.3% | -57.0% | 0.13 | 0.01 | 1.1x | 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 23-day average price crosses above the 95-day average
- Sell — Sell (to cash) when the 23-day average falls below the 95-day average