Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree Cloud Computing Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree Cloud Computing Fund. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.3%, MDD -18.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.9%, drawdown -64.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.3%, MDD -18.7%, Sharpe 0.64, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.6%, MDD -41.9%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 46.2%p (CAGR 7.3%, MDD -18.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=17 |
7.3% | -18.7% | 0.64 | 0.39 | 1.6x | 21 | 15% |
| Donchian 채널 돌파 entryN=48, exitN=16 |
10.1% | -30.3% | 0.61 | 0.33 | 2.0x | 27 | 34% |
| SMA 크로스오버 fast=9, slow=50 |
10.6% | -41.9% | 0.56 | 0.25 | 2.0x | 45 | 53% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=18, mult=1.1 |
8.7% | -30.6% | 0.52 | 0.28 | 1.8x | 67 | 43% |
| EMA 크로스오버 fast=17, slow=69 |
9.6% | -38.2% | 0.51 | 0.25 | 1.9x | 31 | 53% |
| Supertrend period=19, mult=5 |
7.8% | -50.6% | 0.45 | 0.15 | 1.7x | 27 | 50% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
1.4% | -4.6% | 0.44 | 0.31 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=123, threshold=-0.03 |
7.1% | -45.5% | 0.40 | 0.16 | 1.6x | 51 | 57% |
| MACD fast=6, slow=73, signal=11 |
-1.4% | -65.3% | 0.07 | -0.02 | 0.9x | 133 | 51% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-5.1% | -69.8% | -0.08 | -0.07 | 0.7x | 133 | 54% |
| Buy and hold | 7.9% | -64.9% | 0.39 | 0.12 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)