Trend-Following Backtester · Guide · backtest 한국어
equity · US
Plug Power, Inc. backtest
10 trend-following strategies were compared on the full daily history of Plug Power, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -15.0%, drawdown -100.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 13.3%, MDD -97.0%, Sharpe 0.49, 43% 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.26 |
13.3% | -97.0% | 0.49 | 0.14 | 28.5x | 190 | 43% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=12, mult=2.1 |
12.4% | -93.1% | 0.46 | 0.13 | 22.7x | 134 | 18% |
| SMA 크로스오버 fast=8, slow=43 |
6.3% | -97.6% | 0.40 | 0.06 | 5.1x | 196 | 42% |
| MACD fast=29, slow=34, signal=19 |
4.3% | -95.6% | 0.40 | 0.05 | 3.1x | 240 | 52% |
| 볼린저 밴드 돌파 n=37, k=1.6 |
6.5% | -97.1% | 0.38 | 0.07 | 5.4x | 176 | 28% |
| Donchian 채널 돌파 entryN=23, exitN=17 |
3.9% | -98.8% | 0.36 | 0.04 | 2.8x | 150 | 37% |
| EMA 크로스오버 fast=56, slow=147 |
5.3% | -91.9% | 0.34 | 0.06 | 4.0x | 26 | 27% |
| Supertrend period=7, mult=3.5 |
0.9% | -99.7% | 0.34 | 0.01 | 1.3x | 134 | 47% |
| ROC 모멘텀 n=127, threshold=0.03 |
3.4% | -96.3% | 0.32 | 0.04 | 2.5x | 220 | 32% |
| ADX / DI 방향성 period=13, threshold=11 |
-3.8% | -99.0% | 0.28 | -0.04 | 0.4x | 536 | 50% |
| Buy and hold | -15.0% | -100.0% | 0.29 | -0.15 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots