Trend-Following Backtester · Guide · backtest 한국어
equity · US
PTC Inc. backtest
10 trend-following strategies were compared on the full daily history of PTC Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -95.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -87.3%, Sharpe 0.46, 84% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=76 |
11.0% | -87.3% | 0.46 | 0.13 | 46.5x | 85 | 84% |
| SMA 크로스오버 fast=57, slow=258 |
7.5% | -89.0% | 0.39 | 0.08 | 14.3x | 38 | 62% |
| EMA 크로스오버 fast=17, slow=202 |
5.9% | -91.1% | 0.35 | 0.07 | 8.3x | 77 | 64% |
| Supertrend period=10, mult=4.6 |
5.0% | -92.0% | 0.32 | 0.05 | 6.1x | 117 | 59% |
| ROC 모멘텀 n=88, threshold=-0.04 |
4.2% | -82.2% | 0.30 | 0.05 | 4.5x | 389 | 70% |
| 볼린저 밴드 돌파 n=38, k=1.1 |
0.2% | -85.1% | 0.16 | 0.00 | 1.1x | 335 | 48% |
| MACD fast=19, slow=38, signal=14 |
-0.9% | -85.4% | 0.15 | -0.01 | 0.7x | 479 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.7% | -95.3% | 0.03 | -0.05 | 0.2x | 327 | 57% |
| ADX / DI 방향성 period=28, threshold=38 |
0.0% | -7.8% | 0.02 | 0.00 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=29, mult=1.8 |
-3.4% | -93.4% | 0.02 | -0.04 | 0.3x | 235 | 42% |
| Buy and hold | 12.9% | -95.3% | 0.50 | 0.13 | 85.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 76 days