Trend-Following Backtester · Guide · backtest 한국어
equity · AT
PALFINGER AG backtest
10 trend-following strategies were compared on the full daily history of PALFINGER AG. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -33.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.2%, drawdown -82.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.6%, MDD -33.5%, Sharpe 0.67, 26% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.6%, MDD -39.1%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 10.6%, MDD -33.5%, exposure 26%).
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=44, atrPeriod=19, mult=3.4 |
10.6% | -33.5% | 0.67 | 0.32 | 14.5x | 66 | 26% |
| SMA 크로스오버 fast=13, slow=105 |
13.6% | -39.1% | 0.65 | 0.35 | 29.5x | 80 | 55% |
| EMA 크로스오버 fast=22, slow=163 |
11.9% | -45.9% | 0.59 | 0.26 | 20.0x | 46 | 56% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
10.2% | -56.1% | 0.57 | 0.18 | 13.2x | 110 | 37% |
| Donchian 채널 돌파 entryN=123, exitN=62 |
10.0% | -41.9% | 0.56 | 0.24 | 12.7x | 32 | 47% |
| ROC 모멘텀 n=82, threshold=-0.01 |
10.1% | -55.1% | 0.51 | 0.18 | 12.8x | 284 | 58% |
| Supertrend period=9, mult=4 |
8.4% | -57.3% | 0.45 | 0.15 | 8.4x | 114 | 53% |
| ADX / DI 방향성 period=36, threshold=16 |
5.9% | -41.7% | 0.43 | 0.14 | 4.6x | 122 | 26% |
| Parabolic SAR step=0.015, maxStep=0.16 |
5.1% | -66.5% | 0.33 | 0.08 | 3.7x | 416 | 54% |
| MACD fast=18, slow=38, signal=22 |
0.4% | -76.1% | 0.14 | 0.01 | 1.1x | 284 | 50% |
| Buy and hold | 7.2% | -82.9% | 0.37 | 0.09 | 6.3x | 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 44-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average