Trend-Following Backtester · Guide · backtest 한국어
equity · US
Perma-Fix Environmental Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Perma-Fix Environmental Services, Inc.. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.0%, MDD -20.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR -2.0%, drawdown -95.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.0%, MDD -20.1%, Sharpe 0.33, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 75.4%p (CAGR 2.0%, MDD -20.1%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=12, mult=3.9 |
2.0% | -20.1% | 0.33 | 0.10 | 1.9x | 2 | 1% |
| MACD fast=24, slow=47, signal=24 |
-2.6% | -98.3% | 0.19 | -0.03 | 0.4x | 289 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.4% | -90.2% | 0.16 | -0.04 | 0.3x | 398 | 48% |
| SMA 크로스오버 fast=25, slow=76 |
-2.9% | -92.8% | 0.15 | -0.03 | 0.4x | 137 | 46% |
| Donchian 채널 돌파 entryN=57, exitN=22 |
-2.0% | -85.7% | 0.13 | -0.02 | 0.5x | 91 | 31% |
| ADX / DI 방향성 period=19, threshold=18 |
-4.4% | -95.4% | 0.10 | -0.05 | 0.2x | 327 | 30% |
| EMA 크로스오버 fast=54, slow=140 |
-4.8% | -90.4% | 0.09 | -0.05 | 0.2x | 61 | 48% |
| 볼린저 밴드 돌파 n=17, k=3.2 |
0.1% | -69.2% | 0.08 | 0.00 | 1.1x | 40 | 4% |
| Supertrend period=8, mult=3.5 |
-6.7% | -97.5% | 0.08 | -0.07 | 0.1x | 125 | 49% |
| ROC 모멘텀 n=146, threshold=0.01 |
-18.1% | -99.9% | -0.27 | -0.18 | 0.0x | 403 | 45% |
| Buy and hold | -2.0% | -95.6% | 0.32 | -0.02 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 11-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average