Trend-Following Backtester · Guide · backtest 한국어
equity · US
WEX Inc. backtest
10 trend-following strategies were compared on the full daily history of WEX Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.7%, MDD -55.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.8%, drawdown -79.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.7%, MDD -55.0%, Sharpe 0.56, 86% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 13.7%, MDD -55.0%, exposure 86%).
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=8, exitN=60 |
13.7% | -55.0% | 0.56 | 0.25 | 15.6x | 77 | 86% |
| ROC 모멘텀 n=37, threshold=-0.1 |
11.4% | -67.9% | 0.50 | 0.17 | 10.0x | 191 | 84% |
| SMA 크로스오버 fast=14, slow=57 |
9.8% | -46.9% | 0.49 | 0.21 | 7.4x | 105 | 60% |
| EMA 크로스오버 fast=19, slow=54 |
8.9% | -63.9% | 0.46 | 0.14 | 6.2x | 87 | 62% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
6.7% | -49.8% | 0.40 | 0.13 | 4.0x | 127 | 46% |
| Supertrend period=25, mult=3.2 |
6.9% | -63.8% | 0.38 | 0.11 | 4.2x | 135 | 60% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.6% | -66.9% | 0.37 | 0.10 | 3.9x | 189 | 56% |
| MACD fast=19, slow=47, signal=24 |
6.1% | -60.6% | 0.36 | 0.10 | 3.6x | 207 | 52% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=15, mult=1.8 |
3.5% | -43.8% | 0.27 | 0.08 | 2.1x | 151 | 33% |
| ADX / DI 방향성 period=22, threshold=15 |
1.1% | -63.5% | 0.16 | 0.02 | 1.3x | 233 | 39% |
| Buy and hold | 11.8% | -79.0% | 0.48 | 0.15 | 10.9x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 60 days