Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wolverine World Wide, Inc. backtest
10 trend-following strategies were compared on the full daily history of Wolverine World Wide, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.5%, MDD -58.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -83.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.5%, MDD -58.9%, Sharpe 0.40, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.6%, MDD -66.3%, exposure 64%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 24.7%p (CAGR 7.5%, MDD -58.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=26, slow=121 |
7.5% | -58.9% | 0.40 | 0.13 | 28.5x | 99 | 58% |
| Donchian 채널 돌파 entryN=40, exitN=60 |
7.6% | -66.3% | 0.39 | 0.12 | 30.2x | 107 | 64% |
| Supertrend period=25, mult=4.9 |
7.1% | -79.9% | 0.38 | 0.09 | 24.5x | 135 | 59% |
| SMA 크로스오버 fast=30, slow=92 |
6.7% | -74.0% | 0.37 | 0.09 | 20.2x | 129 | 58% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=2 |
1.4% | -81.5% | 0.18 | 0.02 | 1.9x | 231 | 44% |
| ROC 모멘텀 n=69, threshold=-0.01 |
0.6% | -89.2% | 0.16 | 0.01 | 1.3x | 545 | 60% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
1.1% | -80.3% | 0.16 | 0.01 | 1.6x | 225 | 40% |
| ADX / DI 방향성 period=34, threshold=11 |
0.2% | -86.2% | 0.13 | 0.00 | 1.1x | 444 | 46% |
| MACD fast=17, slow=37, signal=18 |
-1.5% | -90.1% | 0.10 | -0.02 | 0.5x | 565 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.5% | -94.0% | 0.09 | -0.02 | 0.5x | 379 | 53% |
| Buy and hold | 8.2% | -83.6% | 0.40 | 0.10 | 38.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 26-day EMA crosses above the 121-day EMA
- Sell — Sell when the 26-day EMA falls below the 121-day EMA