Trend-Following Backtester · Guide · backtest 한국어
equity · US
WD-40 Company backtest
10 trend-following strategies were compared on the full daily history of WD-40 Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -51.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -67.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -51.6%, Sharpe 0.41, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 16.3%p (CAGR 7.4%, MDD -51.6%, exposure 67%).
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=98, slow=338 |
7.4% | -51.6% | 0.41 | 0.14 | 43.8x | 37 | 67% |
| ROC 모멘텀 n=41, threshold=-0.14 |
5.4% | -72.6% | 0.33 | 0.07 | 16.7x | 219 | 94% |
| EMA 크로스오버 fast=138, slow=189 |
4.6% | -81.3% | 0.30 | 0.06 | 10.9x | 51 | 67% |
| Donchian 채널 돌파 entryN=28, exitN=171 |
4.2% | -71.2% | 0.29 | 0.06 | 8.8x | 63 | 88% |
| Supertrend period=21, mult=3.9 |
0.9% | -71.1% | 0.16 | 0.01 | 1.6x | 200 | 58% |
| ADX / DI 방향성 period=31, threshold=25 |
0.8% | -43.2% | 0.13 | 0.02 | 1.6x | 102 | 12% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-0.5% | -98.8% | 0.09 | -0.00 | 0.8x | 1024 | 52% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=3 |
-0.0% | -36.7% | 0.02 | -0.00 | 1.0x | 46 | 3% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
-0.4% | -79.3% | 0.01 | -0.00 | 0.8x | 82 | 12% |
| MACD fast=23, slow=42, signal=17 |
-3.3% | -96.9% | -0.03 | -0.03 | 0.2x | 612 | 50% |
| Buy and hold | 9.8% | -67.9% | 0.45 | 0.14 | 142.8x | 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 98-day average price crosses above the 338-day average
- Sell — Sell (to cash) when the 98-day average falls below the 338-day average