Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Pershing Square Holdings, Ltd. Public Class USD Accum.Shs backtest
10 trend-following strategies were compared on the full daily history of Pershing Square Holdings, Ltd. Public Class USD Accum.Shs. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.5%, MDD -19.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.7%, drawdown -31.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.5%, MDD -19.8%, Sharpe 0.89, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 11.8%p (CAGR 16.5%, MDD -19.8%, exposure 63%).
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=18, exitN=30 |
16.5% | -19.8% | 0.89 | 0.83 | 4.2x | 32 | 63% |
| Supertrend period=11, mult=3.6 |
11.8% | -38.0% | 0.69 | 0.31 | 2.9x | 38 | 60% |
| 볼린저 밴드 돌파 n=75, k=1.2 |
9.7% | -24.7% | 0.68 | 0.40 | 2.4x | 38 | 51% |
| SMA 크로스오버 fast=8, slow=78 |
9.9% | -24.4% | 0.64 | 0.41 | 2.4x | 39 | 59% |
| EMA 크로스오버 fast=27, slow=28 |
10.4% | -23.7% | 0.61 | 0.44 | 2.5x | 39 | 62% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=21, mult=1.9 |
7.0% | -36.4% | 0.53 | 0.19 | 1.9x | 38 | 49% |
| ROC 모멘텀 n=27, threshold=-0.03 |
8.0% | -40.3% | 0.48 | 0.20 | 2.1x | 141 | 74% |
| MACD fast=16, slow=51, signal=19 |
4.1% | -30.3% | 0.34 | 0.14 | 1.5x | 99 | 48% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.3% | -41.4% | 0.27 | 0.08 | 1.4x | 87 | 60% |
| ADX / DI 방향성 period=18, threshold=28 |
1.8% | -16.2% | 0.26 | 0.11 | 1.2x | 28 | 17% |
| Buy and hold | 15.7% | -31.5% | 0.69 | 0.50 | 4.0x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 30 days