Trend-Following Backtester · Guide · backtest 한국어
equity · US
Preformed Line Products Company backtest
10 trend-following strategies were compared on the full daily history of Preformed Line Products Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -67.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -79.3%, Sharpe 0.40, 54% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=43, slow=69 |
8.1% | -79.3% | 0.40 | 0.10 | 8.4x | 127 | 54% |
| Donchian 채널 돌파 entryN=88, exitN=57 |
5.8% | -63.1% | 0.34 | 0.09 | 4.7x | 43 | 49% |
| EMA 크로스오버 fast=40, slow=79 |
4.5% | -70.9% | 0.30 | 0.06 | 3.3x | 73 | 51% |
| ADX / DI 방향성 period=22, threshold=39 |
1.7% | -16.3% | 0.27 | 0.11 | 1.6x | 14 | 3% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.6% | -69.4% | 0.27 | 0.05 | 2.6x | 332 | 52% |
| ROC 모멘텀 n=147, threshold=0.05 |
3.0% | -59.7% | 0.25 | 0.05 | 2.2x | 229 | 46% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
2.3% | -38.9% | 0.23 | 0.06 | 1.9x | 36 | 10% |
| MACD fast=24, slow=26, signal=16 |
-0.5% | -64.8% | 0.14 | -0.01 | 0.9x | 350 | 50% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=22, mult=4 |
0.5% | -32.1% | 0.11 | 0.02 | 1.1x | 66 | 11% |
| Supertrend period=11, mult=4.8 |
-2.1% | -82.9% | 0.09 | -0.03 | 0.6x | 123 | 49% |
| Buy and hold | 11.9% | -67.2% | 0.47 | 0.18 | 21.9x | 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 43-day average price crosses above the 69-day average
- Sell — Sell (to cash) when the 43-day average falls below the 69-day average