Trend-Following Backtester · Guide · backtest 한국어
equity · US
Willis Lease Finance Corporation backtest
10 trend-following strategies were compared on the full daily history of Willis Lease Finance Corporation. 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 16.9%, MDD -53.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.3%, drawdown -88.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.9%, MDD -53.2%, Sharpe 0.58, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 16.9%, MDD -53.2%, exposure 84%).
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=11, exitN=63 |
16.9% | -53.2% | 0.58 | 0.32 | 107.5x | 92 | 84% |
| ADX / DI 방향성 period=28, threshold=30 |
5.1% | -36.0% | 0.42 | 0.14 | 4.4x | 46 | 10% |
| SMA 크로스오버 fast=45, slow=59 |
8.0% | -71.2% | 0.39 | 0.11 | 10.1x | 182 | 56% |
| EMA 크로스오버 fast=43, slow=70 |
6.8% | -82.3% | 0.36 | 0.08 | 7.1x | 90 | 59% |
| Supertrend period=7, mult=3.1 |
5.4% | -83.2% | 0.32 | 0.07 | 4.9x | 192 | 56% |
| MACD fast=17, slow=25, signal=17 |
5.3% | -85.0% | 0.32 | 0.06 | 4.8x | 398 | 49% |
| Parabolic SAR step=0.015, maxStep=0.22 |
5.0% | -68.2% | 0.31 | 0.07 | 4.3x | 478 | 49% |
| 볼린저 밴드 돌파 n=59, k=2 |
2.8% | -77.1% | 0.24 | 0.04 | 2.3x | 110 | 32% |
| ROC 모멘텀 n=65, threshold=-0.04 |
1.3% | -89.6% | 0.21 | 0.01 | 1.5x | 380 | 68% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=28, mult=1.6 |
0.5% | -92.7% | 0.15 | 0.01 | 1.2x | 230 | 35% |
| Buy and hold | 10.3% | -88.1% | 0.45 | 0.12 | 18.7x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 63 days