Trend-Following Backtester · Guide · backtest 한국어
equity · US
WESCO International, Inc. backtest
10 trend-following strategies were compared on the full daily history of WESCO International, Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.8%, MDD -47.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.9%, drawdown -86.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.8%, MDD -47.9%, Sharpe 0.64, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 15.8%, MDD -47.9%, exposure 60%).
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=46, slow=181 |
15.8% | -47.9% | 0.64 | 0.33 | 55.4x | 33 | 60% |
| SMA 크로스오버 fast=47, slow=170 |
12.4% | -63.5% | 0.53 | 0.20 | 24.4x | 43 | 58% |
| 볼린저 밴드 돌파 n=59, k=2 |
10.1% | -54.9% | 0.52 | 0.18 | 13.8x | 88 | 35% |
| Donchian 채널 돌파 entryN=21, exitN=75 |
12.7% | -74.5% | 0.51 | 0.17 | 26.2x | 67 | 80% |
| ROC 모멘텀 n=50, threshold=0.04 |
9.3% | -67.2% | 0.46 | 0.14 | 11.5x | 366 | 46% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=20, mult=2.5 |
6.1% | -59.4% | 0.37 | 0.10 | 5.0x | 128 | 32% |
| ADX / DI 방향성 period=36, threshold=21 |
4.1% | -42.5% | 0.37 | 0.10 | 3.0x | 46 | 12% |
| Supertrend period=21, mult=4.9 |
6.6% | -85.6% | 0.36 | 0.08 | 5.8x | 90 | 57% |
| MACD fast=21, slow=67, signal=37 |
3.9% | -70.0% | 0.28 | 0.06 | 2.9x | 202 | 50% |
| Parabolic SAR step=0.01, maxStep=0.34 |
2.9% | -76.1% | 0.25 | 0.04 | 2.2x | 362 | 53% |
| Buy and hold | 10.9% | -86.3% | 0.46 | 0.13 | 16.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 181-day EMA
- Sell — Sell when the 46-day EMA falls below the 181-day EMA