Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree U.S. MidCap Dividend Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree U.S. MidCap Dividend Fund. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -26.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -64.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -26.5%, Sharpe 0.52, 69% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.1%, MDD -39.5%, exposure 94%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 37.9%p (CAGR 6.0%, MDD -26.5%, exposure 69%).
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=33, slow=202 |
6.0% | -26.5% | 0.52 | 0.23 | 3.2x | 21 | 69% |
| EMA 크로스오버 fast=53, slow=146 |
5.3% | -24.4% | 0.47 | 0.22 | 2.8x | 21 | 70% |
| Donchian 채널 돌파 entryN=73, exitN=79 |
4.8% | -29.9% | 0.44 | 0.16 | 2.6x | 29 | 69% |
| ROC 모멘텀 n=83, threshold=-0.15 |
6.1% | -39.5% | 0.43 | 0.15 | 3.3x | 27 | 94% |
| 볼린저 밴드 돌파 n=63, k=3.1 |
1.1% | -5.0% | 0.38 | 0.23 | 1.3x | 2 | 3% |
| Supertrend period=22, mult=5 |
2.6% | -31.0% | 0.26 | 0.08 | 1.7x | 77 | 66% |
| ADX / DI 방향성 period=31, threshold=26 |
0.2% | -8.0% | 0.10 | 0.02 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.2% | -41.9% | -0.01 | -0.03 | 0.8x | 182 | 62% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=1.3 |
-1.1% | -46.0% | -0.04 | -0.02 | 0.8x | 169 | 56% |
| MACD fast=21, slow=58, signal=21 |
-2.9% | -52.0% | -0.15 | -0.06 | 0.6x | 215 | 51% |
| Buy and hold | 6.3% | -64.4% | 0.39 | 0.10 | 3.4x | 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 33-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 33-day average falls below the 202-day average