Trend-Following Backtester · Guide · backtest 한국어
equity · US
Playtika Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of Playtika Holding Corp.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.6%, MDD -6.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.6%, drawdown -92.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.6%, MDD -8.7%, Sharpe 0.33, 5% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 34.2%p higher than buy and hold, while drawdown improves by 83.4%p (CAGR -0.6%, MDD -6.9%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=30, k=3.2 |
2.6% | -8.7% | 0.33 | 0.30 | 1.2x | 4 | 5% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=4 |
-0.6% | -6.9% | -0.15 | -0.09 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=50, slow=222 |
-4.8% | -44.1% | -0.28 | -0.11 | 0.8x | 7 | 14% |
| Supertrend period=6, mult=4.5 |
-12.1% | -66.0% | -0.30 | -0.18 | 0.5x | 17 | 37% |
| ADX / DI 방향성 period=30, threshold=11 |
-11.4% | -66.4% | -0.39 | -0.17 | 0.5x | 51 | 24% |
| Donchian 채널 돌파 entryN=39, exitN=62 |
-15.1% | -73.4% | -0.43 | -0.21 | 0.4x | 13 | 36% |
| EMA 크로스오버 fast=6, slow=186 |
-8.8% | -49.8% | -0.46 | -0.18 | 0.6x | 11 | 11% |
| MACD fast=20, slow=32, signal=17 |
-23.1% | -82.2% | -0.50 | -0.28 | 0.2x | 58 | 57% |
| ROC 모멘텀 n=77, threshold=0.12 |
-10.7% | -55.7% | -0.51 | -0.19 | 0.5x | 43 | 13% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-28.7% | -85.4% | -0.91 | -0.34 | 0.2x | 82 | 46% |
| Buy and hold | -31.6% | -92.1% | -0.50 | -0.34 | 0.1x | 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 30-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 30-day middle average