Trend-Following Backtester · Guide · backtest 한국어
equity · CA
WSP Global Inc backtest
10 trend-following strategies were compared on the full daily history of WSP Global Inc. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.5%, MDD -24.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.2%, drawdown -44.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.9%, MDD -37.1%, Sharpe 0.85, 72% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 7.8%p (CAGR 12.5%, MDD -24.6%, exposure 74%).
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=62, slow=168 |
15.9% | -37.1% | 0.85 | 0.43 | 6.5x | 12 | 72% |
| Donchian 채널 돌파 entryN=60, exitN=79 |
12.5% | -24.6% | 0.74 | 0.51 | 4.5x | 14 | 74% |
| EMA 크로스오버 fast=58, slow=197 |
12.1% | -37.1% | 0.66 | 0.33 | 4.3x | 8 | 77% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.08 |
13.2% | -46.1% | 0.64 | 0.29 | 4.8x | 29 | 99% |
| Supertrend period=19, mult=3.5 |
8.0% | -32.2% | 0.54 | 0.25 | 2.6x | 65 | 62% |
| ADX / DI 방향성 period=22, threshold=22 |
4.0% | -24.6% | 0.42 | 0.16 | 1.6x | 68 | 26% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=3.4 |
3.5% | -23.0% | 0.40 | 0.15 | 1.5x | 34 | 26% |
| 볼린저 밴드 돌파 n=46, k=2.7 |
2.7% | -17.5% | 0.33 | 0.16 | 1.4x | 25 | 20% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.1% | -40.1% | 0.33 | 0.10 | 1.7x | 113 | 57% |
| MACD fast=10, slow=26, signal=18 |
3.1% | -35.6% | 0.27 | 0.09 | 1.5x | 184 | 50% |
| Buy and hold | 15.2% | -44.9% | 0.71 | 0.34 | 6.0x | 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 62-day average price crosses above the 168-day average
- Sell — Sell (to cash) when the 62-day average falls below the 168-day average