Trend-Following Backtester · Guide · backtest 한국어
equity · US
Whirlpool Corporation backtest
10 trend-following strategies were compared on the full daily history of Whirlpool Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.6%, drawdown -85.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -8.6%, Sharpe 0.27, 1% exposure.
CAGR reference leader: Supertrend — CAGR 1.2%, MDD -72.2%, exposure 51%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=2.9 |
0.7% | -8.6% | 0.27 | 0.08 | 1.5x | 18 | 1% |
| Donchian 채널 돌파 entryN=11, exitN=26 |
0.9% | -73.4% | 0.17 | 0.01 | 1.6x | 362 | 67% |
| Supertrend period=10, mult=2.8 |
1.2% | -72.2% | 0.17 | 0.02 | 1.9x | 476 | 51% |
| SMA 크로스오버 fast=20, slow=192 |
1.1% | -60.7% | 0.16 | 0.02 | 1.8x | 126 | 52% |
| ADX / DI 방향성 period=32, threshold=37 |
0.3% | -7.9% | 0.16 | 0.04 | 1.2x | 2 | 1% |
| EMA 크로스오버 fast=52, slow=198 |
0.1% | -62.2% | 0.11 | 0.00 | 1.0x | 82 | 53% |
| ROC 모멘텀 n=163, threshold=0.01 |
0.0% | -64.6% | 0.11 | 0.00 | 1.0x | 398 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.8% | -77.1% | 0.09 | -0.01 | 0.6x | 442 | 52% |
| MACD fast=18, slow=53, signal=29 |
-3.1% | -89.5% | -0.01 | -0.03 | 0.2x | 495 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=1.8 |
-2.7% | -81.4% | -0.04 | -0.03 | 0.2x | 360 | 40% |
| Buy and hold | 1.6% | -85.9% | 0.22 | 0.02 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 11-day middle average