Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Wendel SE backtest
10 trend-following strategies were compared on the full daily history of Wendel SE. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.1%, MDD -48.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.4%, drawdown -89.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.1%, MDD -48.9%, Sharpe 0.42, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 8.1%, MDD -48.9%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=22, slow=116 |
8.1% | -48.9% | 0.42 | 0.17 | 17.8x | 76 | 58% |
| SMA 크로스오버 fast=16, slow=175 |
7.6% | -57.4% | 0.40 | 0.13 | 14.7x | 66 | 58% |
| Donchian 채널 돌파 entryN=91, exitN=79 |
6.2% | -59.6% | 0.36 | 0.10 | 9.1x | 50 | 54% |
| ROC 모멘텀 n=141, threshold=-0.01 |
1.3% | -88.8% | 0.18 | 0.01 | 1.6x | 269 | 61% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=11, mult=4 |
1.4% | -38.2% | 0.17 | 0.04 | 1.7x | 88 | 22% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
1.3% | -43.2% | 0.16 | 0.03 | 1.6x | 104 | 24% |
| ADX / DI 방향성 period=39, threshold=31 |
0.3% | -8.7% | 0.13 | 0.03 | 1.1x | 4 | 1% |
| Supertrend period=24, mult=4.8 |
-0.1% | -72.8% | 0.12 | -0.00 | 1.0x | 162 | 57% |
| MACD fast=23, slow=60, signal=36 |
-0.7% | -82.0% | 0.10 | -0.01 | 0.8x | 266 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.7% | -92.0% | -0.02 | -0.04 | 0.3x | 325 | 56% |
| Buy and hold | 4.4% | -89.0% | 0.30 | 0.05 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 22-day EMA crosses above the 116-day EMA
- Sell — Sell when the 22-day EMA falls below the 116-day EMA