Trend-Following Backtester · Guide · backtest 한국어
equity · US
Westlake Corporation backtest
10 trend-following strategies were compared on the full daily history of Westlake Corporation. 4 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 11.1%, MDD -40.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.1%, drawdown -75.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.1%, MDD -40.1%, Sharpe 0.57, 44% exposure.
CAGR reference leader: Supertrend — CAGR 13.1%, MDD -74.1%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 11.1%, MDD -40.1%, exposure 44%).
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=101, k=1.5 |
11.1% | -40.1% | 0.57 | 0.28 | 10.1x | 50 | 44% |
| EMA 크로스오버 fast=15, slow=60 |
12.6% | -57.1% | 0.57 | 0.22 | 13.8x | 84 | 57% |
| Supertrend period=9, mult=4.3 |
13.1% | -74.1% | 0.57 | 0.18 | 15.0x | 77 | 60% |
| ADX / DI 방향성 period=25, threshold=39 |
3.0% | -10.9% | 0.55 | 0.27 | 1.9x | 4 | 3% |
| Donchian 채널 돌파 entryN=19, exitN=26 |
12.5% | -64.3% | 0.54 | 0.19 | 13.4x | 93 | 63% |
| SMA 크로스오버 fast=19, slow=63 |
10.2% | -65.4% | 0.49 | 0.16 | 8.5x | 82 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=1.5 |
9.2% | -62.6% | 0.48 | 0.15 | 7.0x | 132 | 48% |
| ROC 모멘텀 n=48, threshold=-0.07 |
6.2% | -77.9% | 0.35 | 0.08 | 3.7x | 243 | 70% |
| MACD fast=18, slow=51, signal=16 |
2.5% | -69.7% | 0.23 | 0.04 | 1.7x | 255 | 50% |
| Parabolic SAR step=0.01, maxStep=0.18 |
1.5% | -72.6% | 0.20 | 0.02 | 1.4x | 317 | 54% |
| Buy and hold | 11.1% | -75.8% | 0.46 | 0.15 | 10.1x | 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 101-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 101-day middle average