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 Donchian 채널 돌파 (CAGR 80.9%, MDD -39.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 65.0%, drawdown -70.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 80.9%, MDD -39.2%, Sharpe 1.52, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 80.9%, MDD -39.2%, exposure 81%).
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 |
80.9% | -39.2% | 1.52 | 2.06 | 28.5x | 7 | 81% |
| Supertrend period=8, mult=4.7 |
62.6% | -38.6% | 1.33 | 1.62 | 15.6x | 13 | 68% |
| EMA 크로스오버 fast=28, slow=83 |
58.5% | -35.0% | 1.32 | 1.67 | 13.5x | 6 | 70% |
| SMA 크로스오버 fast=26, slow=99 |
54.1% | -29.6% | 1.28 | 1.83 | 11.5x | 12 | 67% |
| ADX / DI 방향성 period=39, threshold=12 |
49.0% | -32.4% | 1.27 | 1.51 | 9.5x | 34 | 60% |
| 볼린저 밴드 돌파 n=23, k=2.5 |
33.9% | -24.4% | 1.24 | 1.39 | 5.2x | 20 | 23% |
| ROC 모멘텀 n=97, threshold=0.06 |
50.2% | -29.5% | 1.24 | 1.71 | 10.0x | 30 | 64% |
| Parabolic SAR step=0.045, maxStep=0.12 |
39.8% | -56.2% | 1.05 | 0.71 | 6.6x | 163 | 57% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=11, mult=3 |
22.8% | -34.5% | 0.92 | 0.66 | 3.2x | 16 | 28% |
| MACD fast=5, slow=57, signal=17 |
20.8% | -58.9% | 0.70 | 0.35 | 2.9x | 97 | 51% |
| Buy and hold | 65.0% | -70.8% | 1.21 | 0.92 | 17.0x | 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