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. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.6%, MDD -12.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.3%, drawdown -71.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -12.5%, Sharpe 0.65, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.0%, MDD -64.9%, exposure 81%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 59.3%p (CAGR 5.6%, MDD -12.5%, exposure 11%).
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% | 0.65 | 0.44 | 1.8x | 10 | 11% |
| 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 |
7.4% | -47.1% | 0.48 | 0.16 | 2.2x | 76 | 34% |
| Donchian 채널 돌파 entryN=8, exitN=42 |
10.0% | -64.9% | 0.47 | 0.15 | 2.8x | 60 | 81% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=3 |
5.5% | -24.0% | 0.40 | 0.23 | 1.8x | 42 | 31% |
| Parabolic SAR step=0.015, maxStep=0.3 |
5.4% | -66.5% | 0.33 | 0.08 | 1.8x | 178 | 56% |
| MACD fast=14, slow=38, signal=16 |
4.5% | -62.8% | 0.30 | 0.07 | 1.6x | 154 | 49% |
| SMA 크로스오버 fast=6, slow=184 |
4.1% | -51.6% | 0.28 | 0.08 | 1.5x | 32 | 59% |
| Supertrend period=14, mult=3.2 |
4.0% | -54.5% | 0.28 | 0.07 | 1.5x | 76 | 59% |
| EMA 크로스오버 fast=39, slow=136 |
3.4% | -54.0% | 0.26 | 0.06 | 1.4x | 15 | 61% |
| Buy and hold | 7.3% | -71.8% | 0.38 | 0.10 | 2.1x | 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