Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree U.S. Value Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree U.S. Value 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 7.2%, MDD -32.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -63.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -32.7%, Sharpe 0.59, 72% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 30.3%p (CAGR 7.2%, MDD -32.7%, exposure 72%).
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=40, slow=190 |
7.2% | -32.7% | 0.59 | 0.22 | 3.9x | 17 | 72% |
| EMA 크로스오버 fast=46, slow=207 |
6.1% | -26.2% | 0.52 | 0.23 | 3.2x | 21 | 73% |
| Donchian 채널 돌파 entryN=85, exitN=71 |
4.4% | -24.6% | 0.45 | 0.18 | 2.3x | 29 | 62% |
| ROC 모멘텀 n=112, threshold=-0.02 |
4.9% | -35.0% | 0.44 | 0.14 | 2.5x | 105 | 74% |
| ADX / DI 방향성 period=16, threshold=39 |
0.3% | -6.3% | 0.23 | 0.04 | 1.1x | 4 | 2% |
| Supertrend period=25, mult=4.1 |
1.6% | -52.2% | 0.18 | 0.03 | 1.4x | 151 | 65% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=2 |
0.1% | -41.2% | 0.06 | 0.00 | 1.0x | 165 | 52% |
| 볼린저 밴드 돌파 n=30, k=2.8 |
-0.3% | -20.5% | -0.04 | -0.01 | 1.0x | 20 | 7% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-2.9% | -59.1% | -0.13 | -0.05 | 0.6x | 267 | 61% |
| MACD fast=13, slow=44, signal=38 |
-3.5% | -65.1% | -0.20 | -0.05 | 0.5x | 197 | 51% |
| Buy and hold | 7.7% | -63.0% | 0.44 | 0.12 | 4.2x | 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 40-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 40-day average falls below the 190-day average