Trend-Following Backtester · Guide · backtest 한국어
equity · US
Warner Music Group Corp. backtest
10 trend-following strategies were compared on the full daily history of Warner Music Group Corp.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -15.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.1%, drawdown -54.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.3%, MDD -17.8%, Sharpe 0.52, 17% exposure.
CAGR reference leader: MACD — CAGR 8.9%, MDD -28.9%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 1.3%, MDD -15.6%, exposure 18%).
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 n=26, threshold=0.1 |
7.3% | -17.8% | 0.52 | 0.41 | 1.6x | 52 | 17% |
| MACD fast=12, slow=34, signal=15 |
8.9% | -28.9% | 0.48 | 0.31 | 1.7x | 75 | 46% |
| 볼린저 밴드 돌파 n=20, k=2 |
5.3% | -24.7% | 0.37 | 0.21 | 1.4x | 42 | 26% |
| Supertrend period=11, mult=4.5 |
4.5% | -28.9% | 0.31 | 0.16 | 1.3x | 18 | 49% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=1.9 |
3.6% | -27.5% | 0.29 | 0.13 | 1.2x | 34 | 23% |
| SMA 크로스오버 fast=10, slow=57 |
3.3% | -25.1% | 0.26 | 0.13 | 1.2x | 40 | 43% |
| EMA 크로스오버 fast=14, slow=58 |
1.6% | -26.9% | 0.18 | 0.06 | 1.1x | 26 | 44% |
| ADX / DI 방향성 period=32, threshold=17 |
1.3% | -15.6% | 0.16 | 0.08 | 1.1x | 26 | 18% |
| Donchian 채널 돌파 entryN=94, exitN=11 |
-0.2% | -31.6% | 0.04 | -0.01 | 1.0x | 16 | 14% |
| Parabolic SAR step=0.025, maxStep=0.32 |
-5.4% | -49.5% | -0.10 | -0.11 | 0.7x | 147 | 50% |
| Buy and hold | -1.1% | -54.9% | 0.14 | -0.02 | 0.9x | 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 26-day return is greater than 10%
- Sell — Sell when the 26-day return drops to 10% or below