Trend-Following Backtester · Guide · backtest 한국어
equity · US
Willis Towers Watson Public Limited Company backtest
10 trend-following strategies were compared on the full daily history of Willis Towers Watson Public Limited Company. 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 8.4%, drawdown -59.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.9%, MDD -63.7%, Sharpe 0.42, 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=-0.1 |
7.9% | -63.7% | 0.42 | 0.12 | 6.7x | 13 | 100% |
| Donchian 채널 돌파 entryN=21, exitN=130 |
4.7% | -58.0% | 0.32 | 0.08 | 3.2x | 37 | 88% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
1.2% | -12.6% | 0.27 | 0.10 | 1.4x | 19 | 7% |
| Supertrend period=18, mult=4.6 |
3.0% | -46.9% | 0.26 | 0.06 | 2.1x | 79 | 55% |
| SMA 크로스오버 fast=49, slow=142 |
2.1% | -35.8% | 0.21 | 0.06 | 1.7x | 60 | 58% |
| ADX / DI 방향성 period=24, threshold=39 |
0.1% | -3.5% | 0.13 | 0.03 | 1.0x | 4 | 1% |
| EMA 크로스오버 fast=55, slow=57 |
0.1% | -57.7% | 0.10 | 0.00 | 1.0x | 73 | 60% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=25, mult=3.5 |
0.4% | -38.6% | 0.09 | 0.01 | 1.1x | 65 | 27% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.5% | -66.7% | 0.01 | -0.02 | 0.7x | 215 | 55% |
| MACD fast=19, slow=51, signal=16 |
-4.1% | -83.2% | -0.15 | -0.05 | 0.3x | 295 | 50% |
| Buy and hold | 8.4% | -59.3% | 0.44 | 0.14 | 7.6x | 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 -10%
- Sell — Sell when the 1-day return drops to -10% or below