Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wabash National Corporation backtest
10 trend-following strategies were compared on the full daily history of Wabash National Corporation. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -19.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.4%, drawdown -98.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.6%, MDD -51.1%, Sharpe 0.49, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 47.7%p (CAGR 2.0%, MDD -19.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=3.3 |
8.6% | -51.1% | 0.49 | 0.17 | 17.4x | 98 | 18% |
| ROC 모멘텀 n=28, threshold=0.26 |
5.6% | -51.7% | 0.38 | 0.11 | 6.8x | 188 | 8% |
| 볼린저 밴드 돌파 n=36, k=2.6 |
6.3% | -73.7% | 0.38 | 0.09 | 8.4x | 108 | 19% |
| Supertrend period=27, mult=4.4 |
6.0% | -77.7% | 0.34 | 0.08 | 7.7x | 141 | 49% |
| Donchian 채널 돌파 entryN=51, exitN=12 |
5.3% | -71.7% | 0.33 | 0.07 | 6.0x | 148 | 25% |
| EMA 크로스오버 fast=10, slow=238 |
5.4% | -61.9% | 0.32 | 0.09 | 6.2x | 87 | 45% |
| ADX / DI 방향성 period=26, threshold=39 |
2.0% | -19.1% | 0.32 | 0.11 | 2.0x | 14 | 2% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.0% | -92.9% | 0.26 | 0.03 | 2.8x | 274 | 48% |
| SMA 크로스오버 fast=6, slow=210 |
3.1% | -84.0% | 0.25 | 0.04 | 2.9x | 103 | 47% |
| MACD fast=11, slow=27, signal=9 |
0.7% | -93.3% | 0.22 | 0.01 | 1.3x | 669 | 51% |
| Buy and hold | 0.4% | -98.8% | 0.29 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 31-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average