Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Pantheon International Plc backtest
10 trend-following strategies were compared on the full daily history of Pantheon International Plc. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -90.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.6%, MDD -45.8%, Sharpe 0.48, 34% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=52, k=2.6 |
4.6% | -45.8% | 0.48 | 0.10 | 5.8x | 110 | 34% |
| SMA 크로스오버 fast=8, slow=40 |
3.3% | -90.8% | 0.37 | 0.04 | 3.5x | 251 | 60% |
| ADX / DI 방향성 period=16, threshold=34 |
2.4% | -32.4% | 0.34 | 0.07 | 2.5x | 136 | 19% |
| Donchian 채널 돌파 entryN=35, exitN=88 |
2.3% | -90.9% | 0.32 | 0.03 | 2.4x | 75 | 75% |
| EMA 크로스오버 fast=42, slow=57 |
1.9% | -92.4% | 0.31 | 0.02 | 2.1x | 81 | 66% |
| ROC 모멘텀 n=149, threshold=-0.09 |
0.7% | -92.7% | 0.26 | 0.01 | 1.3x | 129 | 82% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.4% | -92.0% | 0.24 | 0.00 | 1.2x | 267 | 54% |
| MACD fast=18, slow=32, signal=14 |
3.5% | -92.7% | 0.18 | 0.04 | 3.8x | 447 | 47% |
| Supertrend period=10, mult=3.4 |
3.5% | -90.7% | 0.17 | 0.04 | 3.8x | 267 | 65% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=29, mult=1.6 |
-1.1% | -91.0% | 0.17 | -0.01 | 0.7x | 252 | 47% |
| Buy and hold | 8.1% | -90.4% | 0.22 | 0.09 | 20.8x | 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 52-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 52-day middle average