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 23.1%, MDD -21.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 20.6%, drawdown -66.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.0%, MDD -38.2%, Sharpe 1.20, 75% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 23.1%, MDD -21.1%, exposure 43%).
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 |
35.0% | -38.2% | 1.20 | 0.92 | 16.0x | 16 | 75% |
| Supertrend period=21, mult=4.8 |
29.8% | -27.5% | 1.14 | 1.08 | 11.1x | 18 | 66% |
| 볼린저 밴드 돌파 n=46, k=1.2 |
26.0% | -28.7% | 1.11 | 0.91 | 8.5x | 38 | 41% |
| SMA 크로스오버 fast=10, slow=111 |
29.6% | -31.5% | 1.09 | 0.94 | 10.9x | 20 | 55% |
| EMA 크로스오버 fast=9, slow=13 |
26.8% | -30.5% | 1.08 | 0.88 | 9.0x | 94 | 60% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=2.8 |
23.1% | -21.1% | 1.07 | 1.10 | 6.8x | 22 | 43% |
| Parabolic SAR step=0.03, maxStep=0.38 |
25.9% | -31.5% | 1.04 | 0.82 | 8.4x | 207 | 57% |
| ROC 모멘텀 n=92, threshold=0.03 |
24.3% | -34.7% | 0.94 | 0.70 | 7.5x | 44 | 52% |
| ADX / DI 방향성 period=18, threshold=11 |
21.8% | -35.1% | 0.94 | 0.62 | 6.2x | 124 | 57% |
| MACD fast=19, slow=47, signal=7 |
17.9% | -49.2% | 0.80 | 0.36 | 4.6x | 115 | 41% |
| Buy and hold | 20.6% | -66.6% | 0.72 | 0.31 | 5.7x | 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