Trend-Following Backtester · Guide · backtest 한국어
equity · US
Walker & Dunlop, Inc backtest
10 trend-following strategies were compared on the full daily history of Walker & Dunlop, Inc. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.8%, MDD -35.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.4%, drawdown -74.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.8%, MDD -38.3%, Sharpe 0.70, 35% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 9.8%, MDD -35.5%, exposure 27%).
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=24, k=1.7 |
13.8% | -38.3% | 0.70 | 0.36 | 7.6x | 120 | 35% |
| Parabolic SAR step=0.005, maxStep=0.28 |
13.5% | -45.4% | 0.61 | 0.30 | 7.3x | 128 | 51% |
| Donchian 채널 돌파 entryN=155, exitN=7 |
7.8% | -24.8% | 0.60 | 0.31 | 3.2x | 40 | 13% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=1.7 |
9.8% | -35.5% | 0.58 | 0.27 | 4.3x | 106 | 27% |
| Supertrend period=11, mult=2.5 |
12.4% | -48.1% | 0.57 | 0.26 | 6.3x | 126 | 52% |
| MACD fast=18, slow=29, signal=18 |
10.3% | -51.5% | 0.50 | 0.20 | 4.7x | 170 | 48% |
| ADX / DI 방향성 period=11, threshold=28 |
7.8% | -29.5% | 0.50 | 0.26 | 3.2x | 132 | 25% |
| ROC 모멘텀 n=126, threshold=-0.02 |
9.4% | -46.1% | 0.47 | 0.20 | 4.1x | 122 | 60% |
| SMA 크로스오버 fast=7, slow=139 |
8.2% | -39.7% | 0.43 | 0.21 | 3.5x | 52 | 56% |
| EMA 크로스오버 fast=11, slow=120 |
7.0% | -54.0% | 0.39 | 0.13 | 2.9x | 54 | 60% |
| Buy and hold | 9.4% | -74.5% | 0.43 | 0.13 | 4.1x | 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 24-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 24-day middle average