Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree Floating Rate Treasury Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree Floating Rate Treasury Fund. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.0%, drawdown -2.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -1.0%, Sharpe -0.40, 0% exposure.
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 n=90, threshold=0.02 |
-0.1% | -1.0% | -0.40 | -0.08 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=59, k=3 |
-0.2% | -3.0% | -0.50 | -0.08 | 1.0x | 4 | 3% |
| Donchian 채널 돌파 entryN=82, exitN=97 |
-1.0% | -12.3% | -0.61 | -0.08 | 0.9x | 21 | 72% |
| SMA 크로스오버 fast=42, slow=215 |
-0.9% | -10.4% | -0.64 | -0.08 | 0.9x | 21 | 59% |
| ADX / DI 방향성 period=36, threshold=35 |
-0.3% | -3.8% | -0.69 | -0.08 | 1.0x | 8 | 11% |
| Keltner 채널 돌파 emaPeriod=2, atrPeriod=24, mult=3.5 |
-0.5% | -5.6% | -0.85 | -0.08 | 0.9x | 8 | 1% |
| EMA 크로스오버 fast=54, slow=215 |
-1.2% | -14.1% | -0.87 | -0.09 | 0.9x | 25 | 64% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.1% | -41.1% | -2.25 | -0.10 | 0.6x | 85 | 46% |
| Supertrend period=10, mult=5 |
-5.5% | -50.7% | -2.93 | -0.11 | 0.5x | 108 | 35% |
| MACD fast=23, slow=55, signal=38 |
-9.5% | -71.3% | -4.40 | -0.13 | 0.3x | 215 | 47% |
| Buy and hold | 0.0% | -2.6% | 0.01 | 0.00 | 1.0x | 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 90-day return is greater than 2%
- Sell — Sell when the 90-day return drops to 2% or below