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 Donchian 채널 돌파 (CAGR 1.2%, MDD -33.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.2%, drawdown -57.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.4%, MDD -34.3%, Sharpe 0.17, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 1.2%, MDD -33.9%, exposure 63%).
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=26, slow=92 |
1.4% | -34.3% | 0.17 | 0.04 | 1.3x | 57 | 55% |
| Donchian 채널 돌파 entryN=33, exitN=58 |
1.2% | -33.9% | 0.15 | 0.03 | 1.2x | 55 | 63% |
| EMA 크로스오버 fast=21, slow=84 |
0.7% | -43.4% | 0.12 | 0.02 | 1.1x | 55 | 59% |
| ROC 모멘텀 n=86, threshold=-0.11 |
-0.1% | -62.7% | 0.08 | -0.00 | 1.0x | 99 | 84% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=9, mult=3.5 |
0.0% | -2.4% | 0.04 | 0.01 | 1.0x | 2 | 0% |
| Supertrend period=26, mult=4.9 |
-0.9% | -58.1% | -0.00 | -0.02 | 0.8x | 90 | 56% |
| 볼린저 밴드 돌파 n=42, k=1.7 |
-0.9% | -36.9% | -0.04 | -0.02 | 0.8x | 108 | 34% |
| ADX / DI 방향성 period=37, threshold=15 |
-1.3% | -27.2% | -0.18 | -0.05 | 0.8x | 38 | 10% |
| MACD fast=18, slow=46, signal=19 |
-3.7% | -58.7% | -0.19 | -0.06 | 0.5x | 204 | 48% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-7.8% | -82.4% | -0.46 | -0.09 | 0.2x | 329 | 53% |
| Buy and hold | 0.2% | -57.0% | 0.12 | 0.00 | 1.0x | 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 26-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 26-day average falls below the 92-day average