Trend-Following Backtester · Guide · backtest 한국어
equity · US
Waterstone Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Waterstone Financial, Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.4%, MDD -40.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.4%, drawdown -90.6%).
Sharpe leader (same as main): Supertrend — CAGR 14.9%, MDD -44.9%, Sharpe 0.62, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.9%, MDD -41.9%, exposure 70%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 5.4%, MDD -40.3%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=7, mult=4.1 |
14.9% | -44.9% | 0.62 | 0.33 | 18.0x | 45 | 62% |
| Donchian 채널 돌파 entryN=22, exitN=59 |
14.9% | -41.9% | 0.61 | 0.36 | 18.1x | 45 | 70% |
| EMA 크로스오버 fast=53, slow=68 |
11.9% | -51.5% | 0.56 | 0.23 | 10.3x | 37 | 58% |
| SMA 크로스오버 fast=20, slow=84 |
11.6% | -46.3% | 0.53 | 0.25 | 9.8x | 69 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=2.6 |
5.4% | -40.3% | 0.36 | 0.14 | 3.0x | 57 | 29% |
| 볼린저 밴드 돌파 n=50, k=1.9 |
5.6% | -45.7% | 0.35 | 0.12 | 3.1x | 89 | 35% |
| ROC 모멘텀 n=142, threshold=-0.01 |
5.3% | -70.8% | 0.33 | 0.07 | 2.9x | 149 | 56% |
| ADX / DI 방향성 period=8, threshold=36 |
4.1% | -50.3% | 0.31 | 0.08 | 2.3x | 174 | 16% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.6% | -83.8% | 0.12 | -0.01 | 0.9x | 265 | 54% |
| MACD fast=17, slow=55, signal=14 |
-2.2% | -86.4% | 0.08 | -0.03 | 0.6x | 259 | 48% |
| Buy and hold | 3.4% | -90.6% | 0.30 | 0.04 | 2.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 7-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)