Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Wiwynn Corporation backtest
10 trend-following strategies were compared on the full daily history of Wiwynn Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 56.0%, MDD -48.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 60.6%, drawdown -62.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 50.6%, MDD -44.2%, Sharpe 1.25, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 56.0%, MDD -48.7%, exposure 89%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.9%p lower than buy and hold, while drawdown improves by 17.8%p (CAGR 56.0%, MDD -48.7%, exposure 89%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=31 |
50.6% | -44.2% | 1.25 | 1.15 | 36.8x | 69 | 61% |
| Donchian 채널 돌파 entryN=12, exitN=77 |
56.0% | -48.7% | 1.18 | 1.15 | 49.9x | 15 | 89% |
| Supertrend period=29, mult=3.1 |
41.2% | -37.2% | 1.10 | 1.11 | 20.7x | 57 | 59% |
| Parabolic SAR step=0.005, maxStep=0.28 |
38.7% | -44.3% | 1.06 | 0.87 | 17.8x | 67 | 59% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=24, mult=1.9 |
29.6% | -39.7% | 1.05 | 0.75 | 9.8x | 61 | 32% |
| MACD fast=22, slow=55, signal=19 |
35.4% | -37.6% | 1.03 | 0.94 | 14.4x | 81 | 50% |
| ROC 모멘텀 n=22, threshold=-0.04 |
40.7% | -56.7% | 1.03 | 0.72 | 20.1x | 157 | 71% |
| 볼린저 밴드 돌파 n=39, k=2 |
31.5% | -39.8% | 1.00 | 0.79 | 11.1x | 45 | 41% |
| EMA 크로스오버 fast=31, slow=70 |
32.8% | -59.2% | 0.88 | 0.55 | 12.1x | 31 | 70% |
| ADX / DI 방향성 period=14, threshold=13 |
24.0% | -63.2% | 0.75 | 0.38 | 6.6x | 175 | 59% |
| Buy and hold | 60.6% | -62.0% | 1.18 | 0.98 | 64.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 31-day average
- Sell — Sell (to cash) when the 20-day average falls below the 31-day average