Trend-Following Backtester · Guide · backtest 한국어
equity · US
World Acceptance Corporation backtest
10 trend-following strategies were compared on the full daily history of World Acceptance Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -77.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -70.3%, Sharpe 0.50, 60% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=78, slow=146 |
12.2% | -70.3% | 0.50 | 0.17 | 54.9x | 67 | 60% |
| Donchian 채널 돌파 entryN=75, exitN=132 |
10.6% | -81.2% | 0.45 | 0.13 | 32.7x | 35 | 72% |
| EMA 크로스오버 fast=51, slow=204 |
5.7% | -83.8% | 0.34 | 0.07 | 6.9x | 51 | 64% |
| Supertrend period=8, mult=4.8 |
5.5% | -77.8% | 0.33 | 0.07 | 6.4x | 99 | 57% |
| ROC 모멘텀 n=95, threshold=-0.04 |
4.6% | -84.7% | 0.31 | 0.05 | 4.8x | 381 | 67% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.0% | -76.7% | 0.24 | 0.03 | 2.0x | 270 | 53% |
| ADX / DI 방향성 period=18, threshold=39 |
1.1% | -35.2% | 0.16 | 0.03 | 1.5x | 42 | 4% |
| MACD fast=21, slow=66, signal=28 |
-1.1% | -90.6% | 0.16 | -0.01 | 0.7x | 294 | 52% |
| 볼린저 밴드 돌파 n=43, k=1.8 |
-2.1% | -80.7% | 0.08 | -0.03 | 0.5x | 204 | 36% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=1.6 |
-3.9% | -92.6% | 0.03 | -0.04 | 0.3x | 214 | 41% |
| Buy and hold | 13.3% | -77.6% | 0.50 | 0.17 | 76.7x | 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 78-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 78-day average falls below the 146-day average