Trend-Following Backtester · Guide · backtest 한국어
equity · IN
360 One Wam Limited backtest
10 trend-following strategies were compared on the full daily history of 360 One Wam Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.7%, MDD -24.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.3%, drawdown -51.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.7%, MDD -24.8%, Sharpe 0.72, 73% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 19.0%, MDD -37.7%, exposure 77%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 26.7%p (CAGR 18.7%, MDD -24.8%, exposure 73%).
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=10, exitN=23 |
18.7% | -24.8% | 0.72 | 0.75 | 3.2x | 31 | 73% |
| EMA 크로스오버 fast=30, slow=364 |
19.0% | -37.7% | 0.71 | 0.51 | 3.3x | 3 | 77% |
| SMA 크로스오버 fast=13, slow=196 |
14.6% | -46.0% | 0.62 | 0.32 | 2.5x | 17 | 65% |
| ROC 모멘텀 n=136, threshold=0.08 |
12.8% | -29.5% | 0.59 | 0.43 | 2.3x | 60 | 51% |
| ADX / DI 방향성 period=38, threshold=13 |
13.1% | -23.6% | 0.59 | 0.56 | 2.3x | 26 | 53% |
| Supertrend period=13, mult=4.2 |
13.9% | -33.1% | 0.58 | 0.42 | 2.4x | 17 | 73% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=10, mult=0.7 |
6.4% | -38.3% | 0.37 | 0.17 | 1.5x | 101 | 44% |
| Parabolic SAR step=0.035, maxStep=0.2 |
5.3% | -46.6% | 0.33 | 0.11 | 1.4x | 201 | 51% |
| 볼린저 밴드 돌파 n=23, k=2.4 |
4.5% | -22.9% | 0.32 | 0.20 | 1.4x | 42 | 24% |
| MACD fast=11, slow=36, signal=4 |
1.2% | -46.1% | 0.18 | 0.03 | 1.1x | 167 | 49% |
| Buy and hold | 20.3% | -51.5% | 0.68 | 0.39 | 3.6x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 23 days