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.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.9%, MDD -49.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.0%, drawdown -88.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.9%, MDD -49.7%, Sharpe 0.66, 57% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 18.9%, MDD -49.7%, exposure 57%).
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 |
18.9% | -49.7% | 0.66 | 0.38 | 9.2x | 99 | 57% |
| Supertrend period=10, mult=4.1 |
18.0% | -60.9% | 0.64 | 0.30 | 8.4x | 51 | 56% |
| EMA 크로스오버 fast=5, slow=140 |
16.6% | -55.6% | 0.62 | 0.30 | 7.2x | 47 | 55% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=18, mult=2.5 |
13.4% | -57.4% | 0.61 | 0.23 | 5.0x | 49 | 32% |
| Donchian 채널 돌파 entryN=87, exitN=80 |
13.8% | -49.3% | 0.55 | 0.28 | 5.2x | 17 | 50% |
| SMA 크로스오버 fast=6, slow=147 |
13.4% | -56.1% | 0.53 | 0.24 | 5.0x | 49 | 55% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
5.0% | -9.9% | 0.52 | 0.51 | 1.9x | 14 | 6% |
| ADX / DI 방향성 period=34, threshold=22 |
6.5% | -21.1% | 0.49 | 0.31 | 2.3x | 16 | 14% |
| Parabolic SAR step=0.015, maxStep=0.26 |
8.1% | -63.9% | 0.40 | 0.13 | 2.7x | 231 | 52% |
| MACD fast=11, slow=66, signal=23 |
5.3% | -83.7% | 0.32 | 0.06 | 1.9x | 143 | 50% |
| Buy and hold | 14.0% | -88.5% | 0.51 | 0.16 | 5.4x | 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