Trend-Following Backtester · Guide · backtest 한국어

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WisdomTree India Earnings Fund backtest

10 trend-following strategies were compared on the full daily history of WisdomTree India Earnings Fund. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.1%, MDD -22.7%).

Data 2008-02-26 ~ 2026-07-31daily bars 4,637 (18.4 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 2.7%, drawdown -66.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -33.6%, Sharpe 0.52, 53% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 4.1%, MDD -22.7%, exposure 26%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=69, exitN=61
7.3%-33.6%0.520.223.7x2853%
EMA 크로스오버
fast=45, slow=78
6.6%-37.2%0.480.183.2x4056%
ROC 모멘텀
n=127, threshold=0.09
5.4%-33.0%0.460.162.6x9434%
볼린저 밴드 돌파
n=47, k=2.2
4.1%-22.7%0.400.182.1x5426%
SMA 크로스오버
fast=42, slow=101
5.2%-46.3%0.390.112.6x4056%
Keltner 채널 돌파
emaPeriod=97, atrPeriod=16, mult=3.6
4.4%-28.5%0.380.162.2x5239%
ADX / DI 방향성
period=12, threshold=37
1.8%-15.4%0.250.121.4x427%
MACD
fast=15, slow=55, signal=18
2.9%-38.2%0.250.081.7x19551%
Parabolic SAR
step=0.005, maxStep=0.2
1.2%-44.1%0.160.031.3x16155%
Supertrend
period=26, mult=4.4
1.0%-38.0%0.140.031.2x11856%
Buy and hold2.7%-66.4%0.230.041.6x1100%
1x 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -33% -50% -66% 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -33.6% (2010-11-05 → 2013-11-12), recovered after 2,464 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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