Trend-Following Backtester · Guide · backtest 한국어
equity · US
Werner Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of Werner Enterprises, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.4%, drawdown -54.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.4%, MDD -61.3%, Sharpe 0.32, 100% 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 100% n=1, threshold=-0.09 |
5.4% | -61.3% | 0.32 | 0.09 | 8.1x | 45 | 100% |
| SMA 크로스오버 fast=58, slow=217 |
1.8% | -64.3% | 0.20 | 0.03 | 2.1x | 57 | 58% |
| EMA 크로스오버 fast=63, slow=133 |
-0.2% | -77.3% | 0.13 | -0.00 | 0.9x | 73 | 59% |
| Donchian 채널 돌파 entryN=11, exitN=59 |
-2.1% | -90.4% | 0.09 | -0.02 | 0.4x | 157 | 83% |
| 볼린저 밴드 돌파 n=42, k=3.2 |
-0.3% | -55.3% | 0.02 | -0.01 | 0.9x | 36 | 6% |
| Supertrend period=16, mult=5 |
-3.2% | -81.1% | 0.00 | -0.04 | 0.3x | 114 | 54% |
| ADX / DI 방향성 period=33, threshold=30 |
-0.0% | -10.2% | -0.01 | -0.00 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=25, mult=3.5 |
-0.5% | -23.2% | -0.14 | -0.02 | 0.8x | 12 | 1% |
| MACD fast=18, slow=46, signal=18 |
-11.1% | -99.6% | -0.35 | -0.11 | 0.0x | 516 | 51% |
| Parabolic SAR step=0.04, maxStep=0.28 |
-14.3% | -99.9% | -0.49 | -0.14 | 0.0x | 1296 | 52% |
| Buy and hold | 6.4% | -54.3% | 0.35 | 0.12 | 12.1x | 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 1-day return is greater than -9%
- Sell — Sell when the 1-day return drops to -9% or below