Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree Japan Hedged Equity Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree Japan Hedged Equity Fund. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.2%, MDD -26.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -51.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.8%, MDD -9.0%, Sharpe 0.47, 5% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.6%, MDD -33.7%, exposure 61%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.7%p lower than buy and hold, while drawdown improves by 42.2%p (CAGR 5.2%, MDD -26.4%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=58, k=3.5 |
1.8% | -9.0% | 0.47 | 0.20 | 1.4x | 4 | 5% |
| Donchian 채널 돌파 entryN=96, exitN=55 |
5.2% | -26.4% | 0.46 | 0.20 | 2.8x | 33 | 50% |
| EMA 크로스오버 fast=59, slow=150 |
5.6% | -33.7% | 0.43 | 0.17 | 3.0x | 23 | 61% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=3.7 |
3.7% | -26.2% | 0.42 | 0.14 | 2.1x | 58 | 32% |
| SMA 크로스오버 fast=57, slow=200 |
5.4% | -39.2% | 0.41 | 0.14 | 2.9x | 23 | 60% |
| Supertrend period=25, mult=5 |
2.9% | -40.3% | 0.26 | 0.07 | 1.8x | 87 | 59% |
| ADX / DI 방향성 period=27, threshold=20 |
0.6% | -24.4% | 0.12 | 0.02 | 1.1x | 40 | 11% |
| ROC 모멘텀 n=138, threshold=0.13 |
0.3% | -41.9% | 0.08 | 0.01 | 1.1x | 154 | 26% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-4.2% | -70.9% | -0.22 | -0.06 | 0.4x | 341 | 59% |
| MACD fast=14, slow=45, signal=17 |
-5.4% | -68.6% | -0.33 | -0.08 | 0.3x | 270 | 51% |
| Buy and hold | 6.5% | -51.1% | 0.39 | 0.13 | 3.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 58-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 58-day middle average