Trend-Following Backtester · Guide · backtest 한국어
etf · AU
PM Capital Global Opportunities Fund Ltd. backtest
10 trend-following strategies were compared on the full daily history of PM Capital Global Opportunities Fund Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -19.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -42.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -19.9%, Sharpe 0.57, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 22.3%p (CAGR 8.6%, MDD -19.9%, exposure 66%).
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=16, slow=242 |
8.6% | -19.9% | 0.57 | 0.43 | 2.8x | 15 | 66% |
| EMA 크로스오버 fast=51, slow=93 |
8.5% | -27.3% | 0.56 | 0.31 | 2.8x | 17 | 67% |
| Donchian 채널 돌파 entryN=98, exitN=70 |
5.6% | -19.0% | 0.44 | 0.29 | 2.0x | 19 | 57% |
| ROC 모멘텀 n=154, threshold=0 |
6.0% | -30.8% | 0.43 | 0.19 | 2.1x | 69 | 65% |
| Supertrend period=26, mult=4.8 |
3.6% | -41.8% | 0.31 | 0.09 | 1.6x | 33 | 60% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.3% | -27.9% | 0.28 | 0.12 | 1.5x | 96 | 60% |
| 볼린저 밴드 돌파 n=41, k=2.4 |
1.9% | -26.7% | 0.22 | 0.07 | 1.3x | 50 | 30% |
| ADX / DI 방향성 period=38, threshold=17 |
1.8% | -26.8% | 0.22 | 0.07 | 1.3x | 41 | 31% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=26, mult=3.5 |
1.2% | -20.7% | 0.21 | 0.06 | 1.2x | 20 | 14% |
| MACD fast=23, slow=58, signal=23 |
1.0% | -45.5% | 0.14 | 0.02 | 1.1x | 114 | 52% |
| Buy and hold | 10.2% | -42.2% | 0.55 | 0.24 | 3.4x | 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 16-day average price crosses above the 242-day average
- Sell — Sell (to cash) when the 16-day average falls below the 242-day average