Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree U.S. LargeCap Dividend Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree U.S. LargeCap Dividend Fund. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.7%, MDD -21.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -59.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -21.9%, Sharpe 0.54, 82% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 37.6%p (CAGR 5.7%, MDD -21.9%, exposure 82%).
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=65, exitN=105 |
5.7% | -21.9% | 0.54 | 0.26 | 3.0x | 19 | 82% |
| EMA 크로스오버 fast=41, slow=88 |
5.2% | -22.1% | 0.53 | 0.23 | 2.7x | 33 | 75% |
| SMA 크로스오버 fast=38, slow=186 |
5.2% | -34.3% | 0.48 | 0.15 | 2.8x | 25 | 73% |
| Supertrend period=13, mult=5 |
3.0% | -26.1% | 0.36 | 0.12 | 1.8x | 75 | 62% |
| ADX / DI 방향성 period=38, threshold=30 |
0.3% | -1.7% | 0.33 | 0.14 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=124, threshold=-0.02 |
2.9% | -30.2% | 0.32 | 0.10 | 1.8x | 107 | 77% |
| 볼린저 밴드 돌파 n=33, k=3.3 |
0.1% | -4.4% | 0.16 | 0.03 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.02 |
1.1% | -36.5% | 0.16 | 0.03 | 1.3x | 113 | 73% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=24, mult=1.7 |
0.1% | -24.1% | 0.05 | 0.00 | 1.0x | 153 | 53% |
| MACD fast=19, slow=25, signal=18 |
-3.0% | -52.1% | -0.22 | -0.06 | 0.5x | 266 | 51% |
| Buy and hold | 7.0% | -59.5% | 0.46 | 0.12 | 3.9x | 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 65 days
- Sell — Sell when price breaks below the lowest low of the last 105 days