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. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.7%, MDD -27.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.5%, drawdown -61.4%).
Sharpe leader (same as main): Supertrend — CAGR 14.6%, MDD -28.2%, Sharpe 0.62, 54% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.8%, MDD -46.3%, exposure 65%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 13.7%, 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 |
14.6% | -28.2% | 0.62 | 0.52 | 2.2x | 31 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=0.7 |
13.7% | -27.8% | 0.61 | 0.49 | 2.1x | 42 | 47% |
| ROC 모멘텀 n=67, threshold=-0.07 |
14.8% | -46.3% | 0.60 | 0.32 | 2.2x | 44 | 65% |
| SMA 크로스오버 fast=11, slow=71 |
13.2% | -42.1% | 0.58 | 0.31 | 2.0x | 21 | 54% |
| Donchian 채널 돌파 entryN=18, exitN=70 |
13.5% | -54.2% | 0.54 | 0.25 | 2.1x | 13 | 74% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
10.6% | -36.1% | 0.52 | 0.29 | 1.8x | 36 | 44% |
| ADX / DI 방향성 period=22, threshold=12 |
9.2% | -29.8% | 0.47 | 0.31 | 1.7x | 79 | 47% |
| EMA 크로스오버 fast=12, slow=63 |
9.0% | -42.9% | 0.45 | 0.21 | 1.6x | 22 | 56% |
| MACD fast=12, slow=48, signal=17 |
4.5% | -63.8% | 0.30 | 0.07 | 1.3x | 73 | 50% |
| Parabolic SAR step=0.04, maxStep=0.18 |
0.2% | -54.9% | 0.15 | 0.00 | 1.0x | 182 | 54% |
| Buy and hold | 9.5% | -61.4% | 0.43 | 0.16 | 1.7x | 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)