Trend-Following Backtester · Guide · backtest 한국어
equity · US
WesBanco, Inc. backtest
10 trend-following strategies were compared on the full daily history of WesBanco, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.2%, drawdown -64.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.3%, MDD -76.1%, Sharpe 0.18, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=139 |
1.3% | -76.1% | 0.18 | 0.02 | 1.7x | 81 | 56% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
0.8% | -22.0% | 0.14 | 0.03 | 1.3x | 22 | 6% |
| EMA 크로스오버 fast=58, slow=210 |
-0.5% | -70.7% | 0.10 | -0.01 | 0.8x | 57 | 60% |
| ADX / DI 방향성 period=39, threshold=23 |
0.2% | -22.9% | 0.07 | 0.01 | 1.1x | 38 | 8% |
| Donchian 채널 돌파 entryN=75, exitN=67 |
-1.5% | -82.7% | 0.06 | -0.02 | 0.6x | 79 | 55% |
| ROC 모멘텀 n=85, threshold=-0.14 |
-3.6% | -92.3% | 0.04 | -0.04 | 0.2x | 233 | 89% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=20, mult=3.8 |
-0.7% | -46.7% | -0.01 | -0.02 | 0.8x | 51 | 10% |
| Supertrend period=10, mult=4.9 |
-4.6% | -90.0% | -0.06 | -0.05 | 0.2x | 115 | 56% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-5.7% | -93.5% | -0.11 | -0.06 | 0.1x | 351 | 53% |
| MACD fast=54, slow=74, signal=34 |
-7.3% | -96.0% | -0.19 | -0.08 | 0.1x | 257 | 51% |
| Buy and hold | 3.2% | -64.7% | 0.27 | 0.05 | 3.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 50-day average falls below the 139-day average