Trend-Following Backtester · Guide · backtest 한국어
equity · US
Western Digital Corporation backtest
10 trend-following strategies were compared on the full daily history of Western Digital Corporation. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.8%, MDD -70.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.5%, drawdown -96.2%).
Sharpe leader (same as main): Supertrend — CAGR 16.9%, MDD -81.7%, Sharpe 0.58, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 14.5%p (CAGR 16.8%, MDD -70.7%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=5 |
16.9% | -81.7% | 0.58 | 0.21 | 1708.7x | 152 | 51% |
| SMA 크로스오버 fast=11, slow=82 |
16.8% | -70.7% | 0.57 | 0.24 | 1647.0x | 193 | 55% |
| Donchian 채널 돌파 entryN=48, exitN=41 |
15.0% | -79.5% | 0.54 | 0.19 | 783.0x | 119 | 52% |
| EMA 크로스오버 fast=17, slow=179 |
13.9% | -85.1% | 0.53 | 0.16 | 496.5x | 107 | 56% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=7, mult=4 |
10.5% | -61.6% | 0.52 | 0.17 | 115.2x | 104 | 25% |
| ROC 모멘텀 n=120, threshold=0.03 |
12.4% | -84.3% | 0.49 | 0.15 | 269.2x | 367 | 52% |
| ADX / DI 방향성 period=18, threshold=18 |
11.9% | -78.4% | 0.49 | 0.15 | 212.5x | 506 | 38% |
| 볼린저 밴드 돌파 n=27, k=2.3 |
10.1% | -70.4% | 0.46 | 0.14 | 100.9x | 282 | 29% |
| MACD fast=16, slow=34, signal=16 |
9.0% | -81.7% | 0.41 | 0.11 | 60.9x | 610 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
7.8% | -81.5% | 0.39 | 0.10 | 35.7x | 392 | 52% |
| Buy and hold | 14.5% | -96.2% | 0.52 | 0.15 | 637.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)