Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wells Fargo & Company backtest
10 trend-following strategies were compared on the full daily history of Wells Fargo & 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 8.8%, drawdown -79.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.3%, MDD -83.4%, Sharpe 0.38, 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=-0.12 |
7.3% | -83.4% | 0.38 | 0.09 | 45.6x | 31 | 100% |
| SMA 크로스오버 fast=36, slow=201 |
4.9% | -49.3% | 0.33 | 0.10 | 13.3x | 93 | 63% |
| EMA 크로스오버 fast=78, slow=99 |
3.8% | -59.0% | 0.28 | 0.06 | 7.5x | 89 | 66% |
| Donchian 채널 돌파 entryN=22, exitN=76 |
3.3% | -72.0% | 0.25 | 0.05 | 5.8x | 159 | 80% |
| Parabolic SAR step=0.015, maxStep=0.02 |
1.9% | -75.7% | 0.20 | 0.03 | 2.8x | 337 | 59% |
| Supertrend period=15, mult=5 |
1.9% | -70.5% | 0.19 | 0.03 | 2.8x | 185 | 57% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=17, mult=2.3 |
1.0% | -68.1% | 0.15 | 0.02 | 1.7x | 223 | 46% |
| 볼린저 밴드 돌파 n=11, k=3 |
0.1% | -6.0% | 0.11 | 0.02 | 1.1x | 6 | 0% |
| ADX / DI 방향성 period=42, threshold=27 |
0.2% | -13.7% | 0.08 | 0.01 | 1.1x | 10 | 1% |
| MACD fast=17, slow=36, signal=18 |
-1.3% | -86.0% | 0.05 | -0.02 | 0.5x | 696 | 50% |
| Buy and hold | 8.8% | -79.6% | 0.42 | 0.11 | 97.7x | 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 -12%
- Sell — Sell when the 1-day return drops to -12% or below