Trend-Following Backtester · Guide · backtest 한국어
equity · US
WillScot Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of WillScot Holdings Corporation. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.1%, MDD -42.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -71.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -12.5%, Sharpe 0.66, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.1%, MDD -64.9%, exposure 81%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 59.3%p (CAGR 8.1%, MDD -42.7%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=49, k=3.5 |
5.6% | -12.5% | 0.66 | 0.45 | 1.8x | 10 | 12% |
| ADX / DI 방향성 period=36, threshold=27 |
4.5% | -14.4% | 0.60 | 0.31 | 1.6x | 14 | 9% |
| ROC 모멘텀 n=82, threshold=0.1 |
8.1% | -42.7% | 0.52 | 0.19 | 2.3x | 75 | 34% |
| Donchian 채널 돌파 entryN=8, exitN=42 |
10.1% | -64.9% | 0.47 | 0.16 | 2.8x | 60 | 81% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=3 |
5.6% | -24.0% | 0.40 | 0.23 | 1.8x | 42 | 31% |
| Parabolic SAR step=0.015, maxStep=0.3 |
6.9% | -66.5% | 0.38 | 0.10 | 2.0x | 176 | 56% |
| SMA 크로스오버 fast=6, slow=184 |
5.5% | -49.9% | 0.34 | 0.11 | 1.8x | 31 | 59% |
| EMA 크로스오버 fast=39, slow=136 |
5.0% | -49.1% | 0.32 | 0.10 | 1.7x | 15 | 61% |
| MACD fast=14, slow=38, signal=16 |
4.5% | -62.8% | 0.30 | 0.07 | 1.6x | 154 | 49% |
| Supertrend period=14, mult=3.2 |
4.0% | -54.5% | 0.28 | 0.07 | 1.5x | 76 | 60% |
| Buy and hold | 8.9% | -71.8% | 0.41 | 0.12 | 2.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 49-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 49-day middle average