Trend-Following Backtester · Guide · backtest 한국어
equity · TH
WHA Corporation Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of WHA Corporation Public Company Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.8%, MDD -28.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.3%, drawdown -59.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -47.2%, Sharpe 0.64, 84% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 11.8%p (CAGR 12.8%, MDD -28.5%, exposure 55%).
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=13, exitN=73 |
15.5% | -47.2% | 0.64 | 0.33 | 7.2x | 31 | 84% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=4 |
5.6% | -12.2% | 0.63 | 0.46 | 2.1x | 6 | 4% |
| Supertrend period=8, mult=3.8 |
12.8% | -28.5% | 0.61 | 0.45 | 5.2x | 54 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
10.8% | -49.6% | 0.54 | 0.22 | 4.1x | 92 | 51% |
| ROC 모멘텀 n=10, threshold=-0.09 |
9.9% | -57.7% | 0.46 | 0.17 | 3.6x | 102 | 94% |
| EMA 크로스오버 fast=20, slow=29 |
8.5% | -42.1% | 0.46 | 0.20 | 3.1x | 79 | 58% |
| SMA 크로스오버 fast=8, slow=21 |
6.8% | -69.3% | 0.39 | 0.10 | 2.5x | 186 | 55% |
| 볼린저 밴드 돌파 n=22, k=1.5 |
5.0% | -66.5% | 0.34 | 0.08 | 2.0x | 156 | 38% |
| ADX / DI 방향성 period=10, threshold=16 |
2.9% | -71.6% | 0.24 | 0.04 | 1.5x | 288 | 50% |
| MACD fast=12, slow=54, signal=22 |
0.2% | -60.9% | 0.12 | 0.00 | 1.0x | 148 | 49% |
| Buy and hold | 13.3% | -59.0% | 0.53 | 0.23 | 5.6x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 73 days