Trend-Following Backtester · Guide · backtest 한국어
equity · US
PureCycle Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of PureCycle Technologies, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 25.3%, MDD -33.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.1%, drawdown -92.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 36.9%, MDD -33.3%, Sharpe 1.01, 21% exposure.
CAGR reference leader: MACD — CAGR 37.3%, MDD -47.5%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 44.0%p higher than buy and hold, while drawdown improves by 59.3%p (CAGR 25.3%, MDD -33.2%, exposure 14%).
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=25, k=2.8 |
36.9% | -33.3% | 1.01 | 1.11 | 6.9x | 24 | 21% |
| ADX / DI 방향성 period=16, threshold=31 |
25.3% | -33.2% | 0.88 | 0.76 | 4.0x | 18 | 14% |
| MACD fast=15, slow=30, signal=30 |
37.3% | -47.5% | 0.82 | 0.78 | 7.0x | 53 | 51% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=10, mult=2 |
27.2% | -58.2% | 0.79 | 0.47 | 4.4x | 32 | 22% |
| ROC 모멘텀 n=32, threshold=0.19 |
28.8% | -53.2% | 0.78 | 0.54 | 4.7x | 62 | 28% |
| SMA 크로스오버 fast=9, slow=38 |
28.5% | -65.5% | 0.72 | 0.43 | 4.6x | 47 | 49% |
| Donchian 채널 돌파 entryN=30, exitN=9 |
25.1% | -69.1% | 0.72 | 0.36 | 3.9x | 32 | 29% |
| Supertrend period=20, mult=2.5 |
23.6% | -61.8% | 0.66 | 0.38 | 3.7x | 51 | 44% |
| Parabolic SAR step=0.015, maxStep=0.28 |
17.8% | -71.4% | 0.57 | 0.25 | 2.7x | 104 | 50% |
| EMA 크로스오버 fast=13, slow=24 |
12.9% | -67.6% | 0.50 | 0.19 | 2.1x | 54 | 46% |
| Buy and hold | -7.1% | -92.7% | 0.37 | -0.08 | 0.6x | 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 25-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 25-day middle average