Trend-Following Backtester · Guide · backtest 한국어
equity · US
Western Union Company (The) backtest
10 trend-following strategies were compared on the full daily history of Western Union Company (The). 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -7.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR -5.6%, drawdown -77.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -7.8%, Sharpe 0.19, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 69.8%p (CAGR 0.4%, MDD -7.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=31 |
0.4% | -7.8% | 0.19 | 0.06 | 1.1x | 4 | 1% |
| Supertrend period=8, mult=4.2 |
-1.7% | -66.3% | 0.01 | -0.03 | 0.7x | 67 | 47% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
-0.3% | -24.4% | -0.03 | -0.01 | 0.9x | 12 | 6% |
| Donchian 채널 돌파 entryN=91, exitN=68 |
-2.9% | -60.2% | -0.07 | -0.05 | 0.6x | 32 | 41% |
| SMA 크로스오버 fast=51, slow=80 |
-3.9% | -63.9% | -0.09 | -0.06 | 0.5x | 74 | 49% |
| EMA 크로스오버 fast=39, slow=59 |
-5.8% | -72.7% | -0.21 | -0.08 | 0.3x | 62 | 45% |
| ROC 모멘텀 n=78, threshold=0.04 |
-6.5% | -76.4% | -0.30 | -0.08 | 0.3x | 198 | 37% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=3.3 |
-0.6% | -14.4% | -0.31 | -0.04 | 0.9x | 6 | 0% |
| MACD fast=14, slow=22, signal=12 |
-10.4% | -89.4% | -0.44 | -0.12 | 0.1x | 332 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-13.2% | -94.7% | -0.57 | -0.14 | 0.1x | 179 | 50% |
| Buy and hold | -5.6% | -77.6% | -0.03 | -0.07 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)