Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree International Hedged Quality Dividend Growth Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree International Hedged Quality Dividend Growth Fund. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -29.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.6%, MDD -25.3%, Sharpe 0.44, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.1 |
5.6% | -25.3% | 0.44 | 0.22 | 1.9x | 19 | 99% |
| Donchian 채널 돌파 entryN=104, exitN=92 |
2.2% | -19.4% | 0.29 | 0.11 | 1.3x | 15 | 47% |
| SMA 크로스오버 fast=52, slow=112 |
1.5% | -29.2% | 0.18 | 0.05 | 1.2x | 27 | 62% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=27, mult=3.8 |
0.5% | -9.4% | 0.14 | 0.05 | 1.1x | 30 | 18% |
| 볼린저 밴드 돌파 n=58, k=2.1 |
0.5% | -13.1% | 0.12 | 0.04 | 1.1x | 33 | 28% |
| ADX / DI 방향성 period=25, threshold=22 |
0.3% | -10.4% | 0.11 | 0.03 | 1.0x | 18 | 11% |
| Supertrend period=16, mult=4.6 |
0.5% | -27.5% | 0.10 | 0.02 | 1.1x | 67 | 60% |
| EMA 크로스오버 fast=20, slow=198 |
0.3% | -30.4% | 0.08 | 0.01 | 1.0x | 27 | 69% |
| MACD fast=19, slow=41, signal=23 |
-1.4% | -31.8% | -0.12 | -0.05 | 0.8x | 126 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-4.7% | -52.8% | -0.43 | -0.09 | 0.6x | 222 | 60% |
| Buy and hold | 6.2% | -29.2% | 0.46 | 0.21 | 2.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 10-day return is greater than -10%
- Sell — Sell when the 10-day return drops to -10% or below