Trend-Following Backtester · Guide · backtest 한국어
etf · AU
WAM Leaders Limited backtest
10 trend-following strategies were compared on the full daily history of WAM Leaders Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.1%, drawdown -40.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.0%, MDD -22.8%, Sharpe 0.16, 24% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=115, exitN=33 |
1.0% | -22.8% | 0.16 | 0.04 | 1.1x | 14 | 24% |
| ROC 모멘텀 n=121, threshold=0.11 |
0.5% | -18.3% | 0.11 | 0.03 | 1.1x | 24 | 11% |
| 볼린저 밴드 돌파 n=49, k=3.2 |
0.0% | -9.3% | 0.03 | 0.00 | 1.0x | 8 | 7% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=3.9 |
-0.3% | -20.5% | -0.01 | -0.01 | 1.0x | 14 | 15% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-1.4% | -25.8% | -0.06 | -0.06 | 0.9x | 170 | 56% |
| MACD fast=26, slow=57, signal=27 |
-1.7% | -31.5% | -0.09 | -0.05 | 0.8x | 78 | 53% |
| Supertrend period=26, mult=3.2 |
-2.1% | -44.9% | -0.10 | -0.05 | 0.8x | 56 | 54% |
| SMA 크로스오버 fast=27, slow=40 |
-2.1% | -35.3% | -0.11 | -0.06 | 0.8x | 78 | 55% |
| ADX / DI 방향성 period=34, threshold=21 |
-0.8% | -10.8% | -0.14 | -0.07 | 0.9x | 22 | 11% |
| EMA 크로스오버 fast=58, slow=205 |
-3.6% | -34.3% | -0.23 | -0.11 | 0.7x | 19 | 50% |
| Buy and hold | 2.1% | -40.4% | 0.20 | 0.05 | 1.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 115 days
- Sell — Sell when price breaks below the lowest low of the last 33 days