Trend-Following Backtester · Guide · backtest 한국어
equity · US
John Wiley & Sons, Inc. backtest
10 trend-following strategies were compared on the full daily history of John Wiley & Sons, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.2%, MDD -49.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -80.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -49.0%, Sharpe 0.49, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 31.1%p (CAGR 8.2%, MDD -49.0%, exposure 58%).
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=32, slow=183 |
8.2% | -49.0% | 0.49 | 0.17 | 70.7x | 93 | 58% |
| 볼린저 밴드 돌파 n=53, k=2.7 |
5.9% | -36.0% | 0.46 | 0.16 | 21.9x | 131 | 25% |
| EMA 크로스오버 fast=57, slow=70 |
7.1% | -56.0% | 0.44 | 0.13 | 40.4x | 113 | 57% |
| ADX / DI 방향성 period=83, threshold=14 |
6.4% | -56.2% | 0.44 | 0.11 | 29.1x | 48 | 38% |
| Donchian 채널 돌파 entryN=88, exitN=57 |
5.9% | -50.5% | 0.41 | 0.12 | 22.7x | 91 | 45% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=17, mult=3.7 |
3.7% | -34.1% | 0.34 | 0.11 | 7.1x | 119 | 22% |
| ROC 모멘텀 n=115, threshold=0.05 |
3.6% | -74.7% | 0.28 | 0.05 | 6.7x | 433 | 46% |
| Parabolic SAR step=0.015, maxStep=0.3 |
1.9% | -96.1% | 0.19 | 0.02 | 2.8x | 815 | 53% |
| Supertrend period=25, mult=4.6 |
1.7% | -75.5% | 0.19 | 0.02 | 2.5x | 201 | 56% |
| MACD fast=17, slow=49, signal=31 |
0.8% | -93.3% | 0.15 | 0.01 | 1.6x | 505 | 51% |
| Buy and hold | 8.5% | -80.1% | 0.42 | 0.11 | 81.6x | 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 32-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 32-day average falls below the 183-day average