Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Pan Pacific International Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Pan Pacific International Holdings Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.8%, MDD -38.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -71.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -40.8%, Sharpe 0.51, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 30.3%p (CAGR 9.8%, MDD -38.4%, exposure 69%).
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=75, slow=134 |
10.0% | -40.8% | 0.51 | 0.24 | 11.5x | 58 | 60% |
| EMA 크로스오버 fast=64, slow=189 |
9.8% | -38.4% | 0.50 | 0.25 | 10.9x | 32 | 69% |
| ROC 모멘텀 n=182, threshold=-0.05 |
7.2% | -62.5% | 0.40 | 0.11 | 5.9x | 158 | 74% |
| Supertrend period=2, mult=3.4 |
6.2% | -56.0% | 0.37 | 0.11 | 4.7x | 198 | 56% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=29, mult=3.8 |
2.9% | -34.9% | 0.31 | 0.08 | 2.1x | 48 | 11% |
| MACD fast=15, slow=45, signal=10 |
3.7% | -63.7% | 0.27 | 0.06 | 2.5x | 374 | 52% |
| Donchian 채널 돌파 entryN=116, exitN=54 |
3.2% | -54.8% | 0.26 | 0.06 | 2.3x | 42 | 41% |
| ADX / DI 방향성 period=36, threshold=16 |
2.2% | -46.9% | 0.22 | 0.05 | 1.7x | 78 | 23% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.0% | -62.8% | 0.21 | 0.03 | 1.7x | 218 | 56% |
| 볼린저 밴드 돌파 n=24, k=2.6 |
1.7% | -53.6% | 0.19 | 0.03 | 1.5x | 118 | 21% |
| Buy and hold | 12.4% | -71.1% | 0.51 | 0.17 | 19.9x | 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 75-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 75-day average falls below the 134-day average