Trend-Following Backtester · Guide · backtest 한국어
equity · TW
WinWay Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of WinWay Technology Co., Ltd.. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 46.6%, MDD -39.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 42.4%, drawdown -69.5%).
Sharpe leader (same as main): MACD — CAGR 51.7%, MDD -41.6%, Sharpe 1.22, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 52.0%, MDD -57.7%, exposure 66%.
Return/drawdown alternative: Parabolic SAR — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 46.6%, MDD -39.3%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=20, slow=59, signal=17 |
51.7% | -41.6% | 1.22 | 1.24 | 16.9x | 55 | 52% |
| Donchian 채널 돌파 entryN=13, exitN=22 |
52.0% | -57.7% | 1.15 | 0.90 | 17.1x | 36 | 66% |
| Parabolic SAR step=0.005, maxStep=0.2 |
46.6% | -39.3% | 1.10 | 1.19 | 13.4x | 48 | 58% |
| ROC 모멘텀 n=90, threshold=-0.02 |
47.5% | -45.1% | 1.05 | 1.05 | 14.0x | 48 | 63% |
| EMA 크로스오버 fast=25, slow=50 |
46.1% | -45.8% | 1.04 | 1.01 | 13.1x | 20 | 63% |
| SMA 크로스오버 fast=10, slow=86 |
43.9% | -42.7% | 1.02 | 1.03 | 11.8x | 22 | 61% |
| ADX / DI 방향성 period=10, threshold=38 |
22.9% | -33.5% | 0.96 | 0.68 | 4.0x | 28 | 16% |
| Supertrend period=22, mult=3.5 |
36.4% | -36.6% | 0.93 | 0.99 | 8.2x | 40 | 56% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
28.2% | -46.5% | 0.88 | 0.61 | 5.4x | 28 | 41% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=19, mult=2.1 |
26.6% | -41.5% | 0.82 | 0.64 | 5.0x | 44 | 35% |
| Buy and hold | 42.4% | -69.5% | 0.90 | 0.61 | 11.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (20/59) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line