Trend-Following Backtester · Guide · backtest 한국어
equity · IT
WIIT SpA backtest
10 trend-following strategies were compared on the full daily history of WIIT SpA. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 23.4%, MDD -21.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 20.4%, drawdown -66.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.4%, MDD -38.2%, Sharpe 1.21, 75% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.0%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 23.4%, MDD -21.1%, exposure 44%).
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=23, exitN=41 |
35.4% | -38.2% | 1.21 | 0.93 | 16.0x | 16 | 75% |
| Supertrend period=21, mult=4.8 |
30.1% | -27.5% | 1.15 | 1.09 | 11.1x | 18 | 67% |
| 볼린저 밴드 돌파 n=46, k=1.2 |
26.3% | -28.7% | 1.12 | 0.92 | 8.5x | 38 | 42% |
| SMA 크로스오버 fast=10, slow=111 |
29.9% | -31.5% | 1.10 | 0.95 | 11.0x | 19 | 55% |
| EMA 크로스오버 fast=9, slow=13 |
27.1% | -30.5% | 1.08 | 0.89 | 9.0x | 94 | 61% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=2.8 |
23.4% | -21.1% | 1.07 | 1.11 | 6.8x | 22 | 44% |
| Parabolic SAR step=0.03, maxStep=0.38 |
25.6% | -31.5% | 1.03 | 0.81 | 8.0x | 206 | 57% |
| ROC 모멘텀 n=92, threshold=0.03 |
25.9% | -32.9% | 0.99 | 0.79 | 8.2x | 39 | 52% |
| ADX / DI 방향성 period=18, threshold=11 |
22.1% | -35.1% | 0.94 | 0.63 | 6.2x | 124 | 57% |
| MACD fast=19, slow=47, signal=7 |
17.7% | -49.2% | 0.79 | 0.36 | 4.4x | 114 | 41% |
| Buy and hold | 20.4% | -66.6% | 0.72 | 0.31 | 5.5x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 41 days