Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Wesfarmers Limited backtest
10 trend-following strategies were compared on the full daily history of Wesfarmers Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.0%, MDD -45.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -65.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.5%, MDD -23.3%, Sharpe 0.58, 23% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.0%, MDD -45.1%, exposure 80%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.0%p lower than buy and hold, while drawdown improves by 42.4%p (CAGR 9.0%, MDD -45.1%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=24 |
6.5% | -23.3% | 0.58 | 0.28 | 11.3x | 46 | 23% |
| Donchian 채널 돌파 entryN=27, exitN=82 |
9.0% | -45.1% | 0.52 | 0.20 | 27.1x | 95 | 80% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=4 |
5.5% | -28.5% | 0.47 | 0.19 | 7.8x | 91 | 28% |
| SMA 크로스오버 fast=53, slow=195 |
6.5% | -40.9% | 0.45 | 0.16 | 11.4x | 59 | 60% |
| EMA 크로스오버 fast=26, slow=68 |
6.0% | -64.6% | 0.41 | 0.09 | 9.3x | 135 | 61% |
| Supertrend period=13, mult=4.2 |
4.7% | -57.3% | 0.34 | 0.08 | 5.9x | 191 | 59% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.7% | -51.7% | 0.34 | 0.09 | 5.9x | 268 | 56% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
2.8% | -41.6% | 0.30 | 0.07 | 2.9x | 116 | 21% |
| MACD fast=39, slow=46, signal=31 |
3.0% | -43.3% | 0.26 | 0.07 | 3.1x | 255 | 53% |
| ROC 모멘텀 n=96, threshold=0.1 |
2.7% | -72.2% | 0.26 | 0.04 | 2.8x | 283 | 31% |
| Buy and hold | 11.5% | -65.7% | 0.57 | 0.18 | 67.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)