Trend-Following Backtester · Guide · backtest 한국어
equity · US
Walmart Inc. backtest
10 trend-following strategies were compared on the full daily history of Walmart 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 17.2%, drawdown -77.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.1%, MDD -77.6%, Sharpe 0.69, 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=-0.14 |
17.1% | -77.6% | 0.69 | 0.22 | 5059.3x | 3 | 100% |
| Donchian 채널 돌파 entryN=23, exitN=63 |
12.8% | -70.6% | 0.61 | 0.18 | 650.2x | 142 | 80% |
| EMA 크로스오버 fast=52, slow=210 |
12.5% | -72.1% | 0.61 | 0.17 | 566.6x | 65 | 73% |
| SMA 크로스오버 fast=31, slow=287 |
12.3% | -73.2% | 0.60 | 0.17 | 513.2x | 67 | 72% |
| Supertrend period=29, mult=4.4 |
8.6% | -59.1% | 0.50 | 0.15 | 86.9x | 240 | 59% |
| Keltner 채널 돌파 emaPeriod=173, atrPeriod=23, mult=2.8 |
8.4% | -76.6% | 0.50 | 0.11 | 78.6x | 146 | 57% |
| MACD fast=46, slow=55, signal=24 |
6.8% | -62.4% | 0.43 | 0.11 | 34.6x | 374 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.3% | -70.8% | 0.35 | 0.08 | 16.5x | 456 | 56% |
| 볼린저 밴드 돌파 n=50, k=1.9 |
2.9% | -78.2% | 0.25 | 0.04 | 4.7x | 288 | 42% |
| ADX / DI 방향성 period=36, threshold=12 |
2.3% | -80.8% | 0.22 | 0.03 | 3.5x | 410 | 39% |
| Buy and hold | 17.2% | -77.1% | 0.69 | 0.22 | 5150.0x | 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 -14%
- Sell — Sell when the 1-day return drops to -14% or below