Trend-Following Backtester · Guide · backtest 한국어
equity · DE
PVA TePla AG backtest
10 trend-following strategies were compared on the full daily history of PVA TePla AG. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.6%, MDD -37.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.3%, drawdown -97.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.0%, MDD -63.7%, Sharpe 0.56, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.8%, MDD -79.8%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 33.4%p (CAGR 8.6%, MDD -37.5%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=3.3 |
13.0% | -63.7% | 0.56 | 0.20 | 27.2x | 36 | 19% |
| Donchian 채널 돌파 entryN=112, exitN=20 |
12.1% | -48.2% | 0.51 | 0.25 | 22.0x | 52 | 24% |
| SMA 크로스오버 fast=57, slow=136 |
13.8% | -79.8% | 0.51 | 0.17 | 33.3x | 53 | 49% |
| ADX / DI 방향성 period=34, threshold=23 |
8.6% | -37.5% | 0.47 | 0.23 | 9.4x | 28 | 7% |
| Supertrend period=13, mult=5 |
11.0% | -83.6% | 0.45 | 0.13 | 17.1x | 76 | 54% |
| EMA 크로스오버 fast=47, slow=115 |
9.8% | -78.4% | 0.43 | 0.13 | 12.8x | 51 | 45% |
| ROC 모멘텀 n=111, threshold=-0.13 |
7.3% | -86.5% | 0.38 | 0.08 | 6.7x | 205 | 68% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.7% | -84.1% | 0.36 | 0.08 | 5.7x | 200 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=2.1 |
3.4% | -92.8% | 0.27 | 0.04 | 2.5x | 134 | 33% |
| MACD fast=19, slow=41, signal=17 |
2.2% | -82.7% | 0.26 | 0.03 | 1.8x | 298 | 51% |
| Buy and hold | 4.3% | -97.1% | 0.37 | 0.04 | 3.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 59-day middle average