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. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.5%, MDD -34.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.3%, drawdown -88.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -73.8%, Sharpe 0.52, 84% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 14.3%p (CAGR 5.5%, MDD -34.1%, exposure 10%).
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 |
13.3% | -73.8% | 0.52 | 0.18 | 41.1x | 92 | 84% |
| ADX / DI 방향성 period=28, threshold=30 |
5.5% | -34.1% | 0.45 | 0.16 | 5.0x | 46 | 10% |
| SMA 크로스오버 fast=45, slow=59 |
9.0% | -71.2% | 0.42 | 0.13 | 13.1x | 182 | 56% |
| Parabolic SAR step=0.015, maxStep=0.22 |
5.5% | -68.2% | 0.33 | 0.08 | 5.0x | 476 | 50% |
| Supertrend period=7, mult=3.1 |
5.5% | -83.2% | 0.32 | 0.07 | 4.9x | 192 | 56% |
| MACD fast=17, slow=25, signal=17 |
5.4% | -85.0% | 0.32 | 0.06 | 4.8x | 398 | 49% |
| EMA 크로스오버 fast=43, slow=70 |
3.4% | -82.3% | 0.29 | 0.04 | 2.7x | 90 | 59% |
| 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 |
1.7% | -89.6% | 0.22 | 0.02 | 1.6x | 376 | 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 | 7.3% | -88.1% | 0.41 | 0.08 | 8.2x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 63 days