Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wintrust Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Wintrust Financial Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.4%, MDD -42.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.3%, drawdown -84.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -42.2%, Sharpe 0.59, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 11.4%, MDD -42.2%, exposure 59%).
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=57, slow=164 |
11.4% | -42.2% | 0.59 | 0.27 | 21.2x | 43 | 59% |
| EMA 크로스오버 fast=51, slow=108 |
6.9% | -53.5% | 0.41 | 0.13 | 6.6x | 53 | 60% |
| Donchian 채널 돌파 entryN=15, exitN=77 |
7.6% | -73.3% | 0.39 | 0.10 | 8.0x | 69 | 84% |
| 볼린저 밴드 돌파 n=21, k=3.3 |
1.9% | -17.7% | 0.35 | 0.11 | 1.7x | 20 | 4% |
| ROC 모멘텀 n=128, threshold=0.01 |
5.0% | -53.5% | 0.33 | 0.09 | 4.0x | 261 | 57% |
| Supertrend period=10, mult=4.2 |
2.7% | -64.8% | 0.23 | 0.04 | 2.1x | 110 | 57% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.2% | -66.2% | 0.18 | 0.02 | 1.4x | 252 | 55% |
| ADX / DI 방향성 period=25, threshold=32 |
0.6% | -18.0% | 0.15 | 0.04 | 1.2x | 18 | 3% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=2.2 |
1.1% | -53.2% | 0.15 | 0.02 | 1.3x | 130 | 36% |
| MACD fast=16, slow=29, signal=17 |
-2.1% | -80.4% | 0.05 | -0.03 | 0.6x | 416 | 50% |
| Buy and hold | 9.3% | -84.3% | 0.42 | 0.11 | 12.5x | 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 57-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 57-day average falls below the 164-day average