Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree India Earnings Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree India Earnings Fund. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.1%, MDD -22.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.7%, drawdown -66.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -33.6%, Sharpe 0.52, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 4.1%, MDD -22.7%, exposure 26%).
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=69, exitN=61 |
7.3% | -33.6% | 0.52 | 0.22 | 3.7x | 28 | 53% |
| EMA 크로스오버 fast=45, slow=78 |
6.6% | -37.2% | 0.48 | 0.18 | 3.2x | 40 | 56% |
| ROC 모멘텀 n=127, threshold=0.09 |
5.4% | -33.0% | 0.46 | 0.16 | 2.6x | 94 | 34% |
| 볼린저 밴드 돌파 n=47, k=2.2 |
4.1% | -22.7% | 0.40 | 0.18 | 2.1x | 54 | 26% |
| SMA 크로스오버 fast=42, slow=101 |
5.2% | -46.3% | 0.39 | 0.11 | 2.6x | 40 | 56% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=16, mult=3.6 |
4.4% | -28.5% | 0.38 | 0.16 | 2.2x | 52 | 39% |
| ADX / DI 방향성 period=12, threshold=37 |
1.8% | -15.4% | 0.25 | 0.12 | 1.4x | 42 | 7% |
| MACD fast=15, slow=55, signal=18 |
2.9% | -38.2% | 0.25 | 0.08 | 1.7x | 195 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.2% | -44.1% | 0.16 | 0.03 | 1.3x | 161 | 55% |
| Supertrend period=26, mult=4.4 |
1.0% | -38.0% | 0.14 | 0.03 | 1.2x | 118 | 56% |
| Buy and hold | 2.7% | -66.4% | 0.23 | 0.04 | 1.6x | 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 69 days
- Sell — Sell when price breaks below the lowest low of the last 61 days