Trend-Following Backtester · Guide · backtest 한국어
equity · US
WisdomTree, Inc. backtest
10 trend-following strategies were compared on the full daily history of WisdomTree, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR 7.0%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -90.3%, Sharpe 0.38, 47% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 15.1%, MDD -99.7%, exposure 51%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=127 |
7.1% | -90.3% | 0.38 | 0.08 | 9.9x | 67 | 47% |
| EMA 크로스오버 fast=47, slow=90 |
5.8% | -90.9% | 0.34 | 0.06 | 6.6x | 65 | 48% |
| 볼린저 밴드 돌파 n=53, k=2.6 |
6.2% | -89.5% | 0.33 | 0.07 | 7.4x | 95 | 26% |
| ROC 모멘텀 n=100, threshold=0.03 |
4.1% | -97.1% | 0.32 | 0.04 | 3.9x | 251 | 45% |
| ADX / DI 방향성 period=36, threshold=8 |
15.1% | -99.7% | 0.21 | 0.15 | 109.8x | 335 | 51% |
| Donchian 채널 돌파 entryN=78, exitN=9 |
1.2% | -94.6% | 0.21 | 0.01 | 1.5x | 135 | 20% |
| Parabolic SAR step=0.015, maxStep=0.22 |
10.1% | -99.2% | 0.20 | 0.10 | 25.3x | 499 | 48% |
| Supertrend period=26, mult=3.1 |
9.1% | -99.8% | 0.20 | 0.09 | 18.5x | 225 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=0.7 |
7.2% | -99.4% | 0.19 | 0.07 | 10.4x | 281 | 43% |
| MACD fast=11, slow=18, signal=15 |
-4.1% | -100.0% | 0.18 | -0.04 | 0.2x | 613 | 50% |
| Buy and hold | 7.0% | -99.9% | 0.24 | 0.07 | 9.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 39-day average falls below the 127-day average