Trend-Following Backtester · Guide · backtest 한국어
equity · US
Weyerhaeuser Company backtest
10 trend-following strategies were compared on the full daily history of Weyerhaeuser Company. 1 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 1.4%, MDD -24.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.5%, drawdown -84.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.4%, MDD -24.6%, Sharpe 0.23, 6% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 59.7%p (CAGR 1.4%, MDD -24.6%, exposure 6%).
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=52, k=3.5 |
1.4% | -24.6% | 0.23 | 0.06 | 2.1x | 32 | 6% |
| Donchian 채널 돌파 entryN=15, exitN=51 |
0.3% | -71.6% | 0.14 | 0.00 | 1.2x | 211 | 76% |
| Supertrend period=18, mult=4.6 |
-0.6% | -76.2% | 0.10 | -0.01 | 0.7x | 190 | 54% |
| MACD fast=31, slow=70, signal=24 |
-0.7% | -71.0% | 0.07 | -0.01 | 0.7x | 377 | 51% |
| SMA 크로스오버 fast=17, slow=46 |
-0.8% | -81.0% | 0.07 | -0.01 | 0.7x | 348 | 54% |
| ADX / DI 방향성 period=22, threshold=32 |
0.1% | -24.4% | 0.04 | 0.00 | 1.0x | 36 | 2% |
| EMA 크로스오버 fast=37, slow=198 |
-2.5% | -80.3% | -0.02 | -0.03 | 0.3x | 106 | 54% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=16, mult=3.8 |
-1.0% | -47.7% | -0.12 | -0.02 | 0.6x | 56 | 5% |
| ROC 모멘텀 n=137, threshold=-0.01 |
-4.8% | -94.6% | -0.14 | -0.05 | 0.1x | 524 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-7.5% | -98.7% | -0.21 | -0.08 | 0.0x | 472 | 54% |
| Buy and hold | 0.5% | -84.4% | 0.19 | 0.01 | 1.3x | 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 52-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 52-day middle average