Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree U.S. Quality Dividend Growth Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree U.S. Quality Dividend Growth Fund. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -32.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.7%, MDD -21.2%, Sharpe 0.83, 98% 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 98% n=19, threshold=-0.09 |
10.7% | -21.2% | 0.83 | 0.51 | 3.9x | 17 | 98% |
| Donchian 채널 돌파 entryN=23, exitN=97 |
8.1% | -20.8% | 0.72 | 0.39 | 2.8x | 19 | 91% |
| EMA 크로스오버 fast=10, slow=73 |
6.1% | -20.3% | 0.64 | 0.30 | 2.2x | 53 | 77% |
| SMA 크로스오버 fast=18, slow=190 |
6.5% | -20.4% | 0.63 | 0.32 | 2.3x | 19 | 78% |
| Supertrend period=11, mult=5 |
5.0% | -18.6% | 0.60 | 0.27 | 1.9x | 45 | 68% |
| Parabolic SAR step=0.005, maxStep=0.2 |
4.0% | -18.6% | 0.49 | 0.22 | 1.7x | 123 | 63% |
| 볼린저 밴드 돌파 n=44, k=2.8 |
0.7% | -9.8% | 0.32 | 0.07 | 1.1x | 7 | 6% |
| MACD fast=18, slow=59, signal=14 |
0.9% | -18.9% | 0.15 | 0.05 | 1.1x | 155 | 52% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=27, mult=1.7 |
-0.0% | -17.4% | 0.03 | -0.00 | 1.0x | 117 | 51% |
| ADX / DI 방향성 period=26, threshold=23 |
-0.3% | -12.8% | -0.09 | -0.03 | 1.0x | 22 | 10% |
| Buy and hold | 10.9% | -32.2% | 0.75 | 0.34 | 4.0x | 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 19-day return is greater than -9%
- Sell — Sell when the 19-day return drops to -9% or below