Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Public Power Corporation S.A. backtest
10 trend-following strategies were compared on the full daily history of Public Power Corporation S.A.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.9%, MDD -65.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.5%, drawdown -96.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -68.6%, Sharpe 0.57, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 6.9%, MDD -65.7%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=93 |
14.2% | -68.6% | 0.57 | 0.21 | 26.4x | 63 | 55% |
| Donchian 채널 돌파 entryN=95, exitN=99 |
11.0% | -66.6% | 0.49 | 0.16 | 13.0x | 27 | 53% |
| 볼린저 밴드 돌파 n=44, k=2.4 |
7.8% | -67.5% | 0.45 | 0.12 | 6.4x | 90 | 30% |
| EMA 크로스오버 fast=47, slow=201 |
8.1% | -76.8% | 0.41 | 0.10 | 6.7x | 29 | 52% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=1.2 |
6.9% | -65.7% | 0.38 | 0.10 | 5.2x | 198 | 43% |
| Supertrend period=14, mult=5 |
7.1% | -74.9% | 0.38 | 0.09 | 5.4x | 73 | 51% |
| ROC 모멘텀 n=101, threshold=0.11 |
5.8% | -74.9% | 0.35 | 0.08 | 4.1x | 201 | 35% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.1% | -83.6% | 0.31 | 0.06 | 3.4x | 198 | 51% |
| ADX / DI 방향성 period=16, threshold=15 |
3.4% | -71.1% | 0.26 | 0.05 | 2.3x | 351 | 39% |
| MACD fast=29, slow=44, signal=20 |
0.7% | -83.8% | 0.19 | 0.01 | 1.2x | 222 | 52% |
| Buy and hold | 2.5% | -96.9% | 0.29 | 0.03 | 1.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 45-day average falls below the 93-day average