Trend-Following Backtester · Guide · backtest 한국어
equity · US
Perella Weinberg Partners backtest
10 trend-following strategies were compared on the full daily history of Perella Weinberg Partners. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.1%, MDD -27.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.9%, drawdown -61.4%).
Sharpe leader (same as main): Supertrend — CAGR 16.1%, MDD -28.2%, Sharpe 0.68, 53% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 16.4%, MDD -41.2%, exposure 66%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 15.1%, MDD -27.8%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=2.8 |
16.1% | -28.2% | 0.68 | 0.57 | 2.3x | 30 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=0.7 |
15.1% | -27.8% | 0.66 | 0.54 | 2.2x | 40 | 47% |
| ROC 모멘텀 n=67, threshold=-0.07 |
16.4% | -41.2% | 0.64 | 0.40 | 2.4x | 40 | 66% |
| SMA 크로스오버 fast=11, slow=71 |
14.3% | -37.1% | 0.61 | 0.38 | 2.1x | 20 | 54% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
13.0% | -28.7% | 0.60 | 0.45 | 2.0x | 34 | 44% |
| Donchian 채널 돌파 entryN=18, exitN=70 |
14.9% | -54.2% | 0.57 | 0.28 | 2.2x | 13 | 74% |
| EMA 크로스오버 fast=12, slow=63 |
11.5% | -35.9% | 0.53 | 0.32 | 1.9x | 20 | 56% |
| ADX / DI 방향성 period=22, threshold=12 |
9.9% | -25.8% | 0.50 | 0.38 | 1.7x | 78 | 46% |
| MACD fast=12, slow=48, signal=17 |
6.4% | -63.8% | 0.36 | 0.10 | 1.4x | 71 | 50% |
| Parabolic SAR step=0.04, maxStep=0.18 |
2.0% | -50.3% | 0.21 | 0.04 | 1.1x | 180 | 54% |
| Buy and hold | 10.9% | -61.4% | 0.46 | 0.18 | 1.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)