Trend-Following Backtester · Guide · backtest 한국어
equity · US
PowerFleet, Inc. backtest
10 trend-following strategies were compared on the full daily history of PowerFleet, Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.4%, MDD -57.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.4%, drawdown -93.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.2%, MDD -83.3%, Sharpe 0.29, 77% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.7%, MDD -92.3%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 9.8%p (CAGR -0.4%, MDD -57.2%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=13, exitN=45 |
2.2% | -83.3% | 0.29 | 0.03 | 1.8x | 95 | 77% |
| SMA 크로스오버 fast=25, slow=34 |
2.7% | -92.3% | 0.27 | 0.03 | 2.0x | 267 | 52% |
| MACD fast=19, slow=41, signal=16 |
1.8% | -89.7% | 0.25 | 0.02 | 1.6x | 294 | 51% |
| Supertrend period=10, mult=4.8 |
-0.1% | -79.8% | 0.21 | -0.00 | 1.0x | 71 | 59% |
| EMA 크로스오버 fast=18, slow=88 |
-0.0% | -88.0% | 0.20 | -0.00 | 1.0x | 91 | 52% |
| ADX / DI 방향성 period=24, threshold=14 |
0.0% | -89.7% | 0.18 | 0.00 | 1.0x | 268 | 38% |
| ROC 모멘텀 n=51, threshold=-0.07 |
-2.4% | -91.7% | 0.17 | -0.03 | 0.5x | 295 | 67% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-2.9% | -82.6% | 0.13 | -0.03 | 0.5x | 542 | 49% |
| 볼린저 밴드 돌파 n=53, k=1.3 |
-2.8% | -92.3% | 0.10 | -0.03 | 0.5x | 178 | 38% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=24, mult=2.7 |
-0.4% | -57.2% | 0.10 | -0.01 | 0.9x | 82 | 11% |
| Buy and hold | -2.4% | -93.1% | 0.26 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 13 days
- Sell — Sell when price breaks below the lowest low of the last 45 days