Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Pepco Group BV backtest
10 trend-following strategies were compared on the full daily history of Pepco Group BV. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 26.0%, MDD -18.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.8%, drawdown -75.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 26.0%, MDD -18.5%, Sharpe 1.14, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 25.3%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 26.0%, MDD -18.5%, exposure 36%).
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=19, k=1.3 |
26.0% | -18.5% | 1.14 | 1.40 | 3.3x | 45 | 36% |
| ROC 모멘텀 n=128, threshold=0.07 |
21.3% | -20.7% | 1.10 | 1.03 | 2.7x | 25 | 34% |
| EMA 크로스오버 fast=40, slow=161 |
18.0% | -20.7% | 1.05 | 0.87 | 2.4x | 3 | 32% |
| SMA 크로스오버 fast=47, slow=151 |
16.4% | -28.0% | 0.94 | 0.59 | 2.2x | 5 | 34% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=26, mult=1.6 |
15.8% | -22.0% | 0.82 | 0.72 | 2.1x | 25 | 34% |
| ADX / DI 방향성 period=17, threshold=17 |
15.2% | -23.3% | 0.77 | 0.65 | 2.1x | 49 | 35% |
| Donchian 채널 돌파 entryN=126, exitN=38 |
11.0% | -19.2% | 0.75 | 0.57 | 1.7x | 5 | 26% |
| Supertrend period=13, mult=2.1 |
16.8% | -31.7% | 0.73 | 0.53 | 2.2x | 41 | 48% |
| Parabolic SAR step=0.015, maxStep=0.1 |
15.2% | -35.6% | 0.67 | 0.43 | 2.1x | 79 | 46% |
| MACD fast=11, slow=40, signal=10 |
9.2% | -51.5% | 0.46 | 0.18 | 1.6x | 77 | 45% |
| Buy and hold | 0.8% | -75.1% | 0.21 | 0.01 | 1.0x | 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 19-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 19-day middle average