Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wix.com Ltd. backtest
10 trend-following strategies were compared on the full daily history of Wix.com Ltd.. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.5%, MDD -49.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.0%, drawdown -88.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.2%, MDD -49.7%, Sharpe 0.65, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 13.5%, MDD -49.3%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=126, threshold=0.01 |
18.2% | -49.7% | 0.65 | 0.37 | 8.4x | 98 | 57% |
| EMA 크로스오버 fast=5, slow=140 |
15.2% | -55.6% | 0.58 | 0.27 | 6.0x | 46 | 55% |
| Donchian 채널 돌파 entryN=87, exitN=80 |
13.5% | -49.3% | 0.55 | 0.27 | 5.0x | 16 | 50% |
| Supertrend period=10, mult=4.1 |
13.9% | -60.9% | 0.54 | 0.23 | 5.2x | 51 | 56% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=18, mult=2.5 |
11.1% | -57.4% | 0.54 | 0.19 | 3.8x | 48 | 32% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
5.0% | -9.9% | 0.52 | 0.51 | 1.9x | 14 | 6% |
| SMA 크로스오버 fast=6, slow=147 |
12.0% | -56.1% | 0.50 | 0.21 | 4.2x | 48 | 55% |
| ADX / DI 방향성 period=34, threshold=22 |
6.6% | -21.1% | 0.49 | 0.31 | 2.3x | 16 | 14% |
| Parabolic SAR step=0.015, maxStep=0.26 |
4.2% | -63.9% | 0.30 | 0.07 | 1.7x | 231 | 52% |
| MACD fast=11, slow=66, signal=23 |
1.5% | -83.7% | 0.22 | 0.02 | 1.2x | 143 | 50% |
| Buy and hold | 10.0% | -88.5% | 0.45 | 0.11 | 3.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 126-day return is greater than 1%
- Sell — Sell when the 126-day return drops to 1% or below