Trend-Following Backtester · Guide · backtest 한국어
equity · US
WSFS Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of WSFS Financial Corporation. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.1%, MDD -64.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -91.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.1%, MDD -64.7%, Sharpe 0.44, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 9.1%, MDD -64.7%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=72, slow=282 |
9.1% | -64.7% | 0.44 | 0.14 | 31.6x | 27 | 63% |
| ADX / DI 방향성 period=37, threshold=30 |
4.1% | -24.2% | 0.37 | 0.17 | 4.9x | 24 | 9% |
| SMA 크로스오버 fast=57, slow=173 |
6.6% | -65.4% | 0.36 | 0.10 | 12.9x | 63 | 60% |
| Donchian 채널 돌파 entryN=210, exitN=78 |
5.8% | -59.1% | 0.35 | 0.10 | 9.4x | 43 | 44% |
| 볼린저 밴드 돌파 n=43, k=2.9 |
3.8% | -43.2% | 0.30 | 0.09 | 4.4x | 94 | 19% |
| Supertrend period=23, mult=3.5 |
4.0% | -71.2% | 0.28 | 0.06 | 4.8x | 155 | 57% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=15, mult=2.7 |
3.7% | -58.8% | 0.28 | 0.06 | 4.2x | 122 | 26% |
| Parabolic SAR step=0.025, maxStep=0.36 |
0.3% | -96.2% | 0.18 | 0.00 | 1.1x | 892 | 51% |
| ROC 모멘텀 n=141, threshold=-0.09 |
-1.1% | -96.9% | 0.15 | -0.01 | 0.7x | 275 | 74% |
| MACD fast=18, slow=31, signal=18 |
-4.0% | -93.1% | 0.06 | -0.04 | 0.2x | 506 | 49% |
| Buy and hold | 8.1% | -91.9% | 0.41 | 0.09 | 22.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 72-day EMA crosses above the 282-day EMA
- Sell — Sell when the 72-day EMA falls below the 282-day EMA