Trend-Following Backtester · Guide · backtest 한국어

equity · US

Willis Lease Finance Corporation backtest

10 trend-following strategies were compared on the full daily history of Willis Lease Finance Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.5%, MDD -34.1%).

Data 1996-09-18 ~ 2026-07-31daily bars 7,513 (29.9 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 7.3%, drawdown -88.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -73.8%, Sharpe 0.52, 84% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 14.3%p (CAGR 5.5%, MDD -34.1%, exposure 10%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=11, exitN=63
13.3%-73.8%0.520.1841.1x9284%
ADX / DI 방향성
period=28, threshold=30
5.5%-34.1%0.450.165.0x4610%
SMA 크로스오버
fast=45, slow=59
9.0%-71.2%0.420.1313.1x18256%
Parabolic SAR
step=0.015, maxStep=0.22
5.5%-68.2%0.330.085.0x47650%
Supertrend
period=7, mult=3.1
5.5%-83.2%0.320.074.9x19256%
MACD
fast=17, slow=25, signal=17
5.4%-85.0%0.320.064.8x39849%
EMA 크로스오버
fast=43, slow=70
3.4%-82.3%0.290.042.7x9059%
볼린저 밴드 돌파
n=59, k=2
2.8%-77.1%0.240.042.3x11032%
ROC 모멘텀
n=65, threshold=-0.04
1.7%-89.6%0.220.021.6x37668%
Keltner 채널 돌파
emaPeriod=30, atrPeriod=28, mult=1.6
0.5%-92.7%0.150.011.2x23035%
Buy and hold7.3%-88.1%0.410.088.2x1100%
1x 10x 100x 1997 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -88% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -73.8% (2026-07-06 → 2026-07-22), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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