Trend-Following Backtester · Guide · backtest 한국어
equity · US
Weatherford International plc backtest
10 trend-following strategies were compared on the full daily history of Weatherford International plc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 63.0%, MDD -34.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 63.1%, drawdown -70.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 79.0%, MDD -39.2%, Sharpe 1.49, 81% exposure.
Return/drawdown alternative: Supertrend — CAGR is 16.0%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 63.0%, MDD -34.4%, exposure 68%).
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=18, exitN=53 |
79.0% | -39.2% | 1.49 | 2.02 | 25.6x | 7 | 81% |
| Supertrend period=8, mult=4.7 |
63.0% | -34.4% | 1.34 | 1.83 | 15.2x | 12 | 68% |
| EMA 크로스오버 fast=28, slow=83 |
59.6% | -35.0% | 1.33 | 1.70 | 13.5x | 6 | 71% |
| ADX / DI 방향성 period=39, threshold=12 |
51.5% | -32.4% | 1.31 | 1.59 | 10.1x | 30 | 60% |
| SMA 크로스오버 fast=26, slow=99 |
55.1% | -29.6% | 1.29 | 1.86 | 11.5x | 12 | 68% |
| 볼린저 밴드 돌파 n=23, k=2.5 |
34.5% | -24.4% | 1.25 | 1.41 | 5.2x | 20 | 23% |
| ROC 모멘텀 n=97, threshold=0.06 |
51.0% | -29.5% | 1.25 | 1.73 | 9.9x | 28 | 65% |
| Parabolic SAR step=0.045, maxStep=0.12 |
38.2% | -56.2% | 1.02 | 0.68 | 6.1x | 161 | 57% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=11, mult=3 |
23.2% | -34.5% | 0.93 | 0.67 | 3.2x | 16 | 29% |
| MACD fast=5, slow=57, signal=17 |
19.9% | -58.9% | 0.68 | 0.34 | 2.7x | 95 | 50% |
| Buy and hold | 63.1% | -70.8% | 1.19 | 0.89 | 15.2x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 53 days