Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Pensana Plc backtest
10 trend-following strategies were compared on the full daily history of Pensana Plc. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 55.5%, MDD -43.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.3%, drawdown -93.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 55.5%, MDD -43.1%, Sharpe 1.10, 27% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 42.2%p higher than buy and hold, while drawdown improves by 50.4%p (CAGR 55.5%, MDD -43.1%, exposure 27%).
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=17, k=1.8 |
55.5% | -43.1% | 1.10 | 1.29 | 14.6x | 50 | 27% |
| Parabolic SAR step=0.045, maxStep=0.24 |
47.8% | -68.5% | 0.92 | 0.70 | 10.7x | 189 | 43% |
| ROC 모멘텀 n=17, threshold=0.11 |
34.7% | -53.4% | 0.82 | 0.65 | 6.1x | 100 | 29% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=24, mult=1 |
33.5% | -59.0% | 0.81 | 0.57 | 5.8x | 58 | 29% |
| ADX / DI 방향성 period=24, threshold=25 |
27.1% | -54.4% | 0.78 | 0.50 | 4.3x | 16 | 16% |
| Supertrend period=6, mult=1.9 |
26.2% | -78.9% | 0.68 | 0.33 | 4.1x | 62 | 46% |
| EMA 크로스오버 fast=48, slow=117 |
20.6% | -72.8% | 0.61 | 0.28 | 3.1x | 10 | 35% |
| Donchian 채널 돌파 entryN=17, exitN=55 |
18.8% | -89.7% | 0.59 | 0.21 | 2.8x | 18 | 72% |
| SMA 크로스오버 fast=32, slow=217 |
12.7% | -63.7% | 0.48 | 0.20 | 2.1x | 6 | 30% |
| MACD fast=13, slow=17, signal=14 |
11.0% | -73.0% | 0.46 | 0.15 | 1.9x | 112 | 46% |
| Buy and hold | 13.3% | -93.6% | 0.57 | 0.14 | 2.1x | 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 17-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 17-day middle average