Trend-Following Backtester · Guide · backtest 한국어
equity · KR
더블유게임즈 backtest
10 trend-following strategies were compared on the full daily history of 더블유게임즈. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -6.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.0%, drawdown -55.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -6.0%, Sharpe 0.22, 2% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 1.4%, MDD -45.8%, exposure 35%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 49.6%p (CAGR 0.9%, MDD -6.0%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.2 |
0.9% | -6.0% | 0.22 | 0.16 | 1.1x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=23, mult=1.4 |
1.4% | -45.8% | 0.18 | 0.03 | 1.2x | 78 | 35% |
| SMA 크로스오버 fast=37, slow=101 |
1.1% | -41.4% | 0.17 | 0.03 | 1.1x | 30 | 48% |
| Parabolic SAR step=0.035, maxStep=0.04 |
0.8% | -52.3% | 0.17 | 0.02 | 1.1x | 116 | 47% |
| MACD fast=13, slow=37, signal=15 |
0.0% | -56.3% | 0.13 | 0.00 | 1.0x | 152 | 47% |
| EMA 크로스오버 fast=22, slow=52 |
-0.8% | -53.1% | 0.10 | -0.01 | 0.9x | 46 | 48% |
| Donchian 채널 돌파 entryN=19, exitN=71 |
-2.8% | -60.3% | 0.07 | -0.05 | 0.7x | 31 | 75% |
| ROC 모멘텀 n=69, threshold=0.01 |
-2.2% | -46.2% | 0.05 | -0.05 | 0.8x | 132 | 46% |
| ADX / DI 방향성 period=29, threshold=33 |
0.0% | -16.0% | 0.03 | 0.00 | 1.0x | 2 | 2% |
| Supertrend period=27, mult=1.7 |
-3.1% | -65.6% | 0.01 | -0.05 | 0.7x | 150 | 46% |
| Buy and hold | 1.0% | -55.6% | 0.22 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 14-day middle average