Trend-Following Backtester · Guide · backtest 한국어
equity · US
WaFd, Inc. backtest
10 trend-following strategies were compared on the full daily history of WaFd, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -63.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -48.4%, Sharpe 0.26, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=69, slow=99 |
3.4% | -48.4% | 0.26 | 0.07 | 4.2x | 151 | 59% |
| Donchian 채널 돌파 entryN=90, exitN=67 |
3.0% | -48.8% | 0.25 | 0.06 | 3.6x | 73 | 53% |
| Supertrend period=24, mult=4.9 |
1.9% | -71.6% | 0.20 | 0.03 | 2.3x | 125 | 57% |
| MACD fast=29, slow=58, signal=50 |
1.6% | -69.9% | 0.18 | 0.02 | 2.0x | 266 | 51% |
| EMA 크로스오버 fast=54, slow=91 |
1.1% | -63.9% | 0.16 | 0.02 | 1.6x | 105 | 62% |
| ADX / DI 방향성 period=37, threshold=34 |
0.5% | -19.3% | 0.13 | 0.02 | 1.2x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=9, mult=3.6 |
0.7% | -46.7% | 0.12 | 0.02 | 1.4x | 64 | 11% |
| ROC 모멘텀 n=73, threshold=-0.09 |
-1.1% | -91.5% | 0.08 | -0.01 | 0.6x | 347 | 84% |
| 볼린저 밴드 돌파 n=42, k=2.5 |
-1.2% | -83.6% | -0.01 | -0.01 | 0.6x | 166 | 25% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.0% | -97.4% | -0.13 | -0.05 | 0.1x | 375 | 54% |
| Buy and hold | 8.6% | -63.3% | 0.42 | 0.14 | 37.3x | 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 69-day average price crosses above the 99-day average
- Sell — Sell (to cash) when the 69-day average falls below the 99-day average