Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Wolters Kluwer N.V. backtest
10 trend-following strategies were compared on the full daily history of Wolters Kluwer N.V.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.1%, MDD -61.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.2%, drawdown -81.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -61.6%, Sharpe 0.54, 75% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 9.1%, MDD -61.6%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=228, threshold=-0.09 |
9.1% | -61.6% | 0.54 | 0.15 | 15.2x | 58 | 75% |
| EMA 크로스오버 fast=76, slow=213 |
7.7% | -70.6% | 0.48 | 0.11 | 10.1x | 20 | 70% |
| SMA 크로스오버 fast=34, slow=213 |
5.4% | -67.7% | 0.37 | 0.08 | 5.3x | 40 | 67% |
| Donchian 채널 돌파 entryN=66, exitN=99 |
4.6% | -71.6% | 0.33 | 0.06 | 4.2x | 39 | 71% |
| Supertrend period=18, mult=5 |
2.4% | -72.1% | 0.22 | 0.03 | 2.1x | 91 | 59% |
| 볼린저 밴드 돌파 n=54, k=2 |
1.1% | -38.6% | 0.15 | 0.03 | 1.4x | 133 | 36% |
| MACD fast=19, slow=36, signal=17 |
-0.4% | -64.7% | 0.07 | -0.01 | 0.9x | 385 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.3% | -58.3% | 0.02 | -0.02 | 0.7x | 303 | 55% |
| ADX / DI 방향성 period=39, threshold=26 |
-0.1% | -21.5% | -0.02 | -0.00 | 1.0x | 18 | 3% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=16, mult=2 |
-1.3% | -68.2% | -0.03 | -0.02 | 0.7x | 185 | 39% |
| Buy and hold | 5.2% | -81.5% | 0.32 | 0.06 | 4.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 228-day return is greater than -9%
- Sell — Sell when the 228-day return drops to -9% or below