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 24.8%, MDD -18.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.4%, drawdown -75.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.8%, MDD -18.5%, Sharpe 1.10, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 25.2%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 24.8%, 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 |
24.8% | -18.5% | 1.10 | 1.34 | 3.2x | 46 | 36% |
| ROC 모멘텀 n=128, threshold=0.07 |
19.6% | -20.7% | 1.02 | 0.95 | 2.6x | 25 | 35% |
| EMA 크로스오버 fast=40, slow=161 |
16.3% | -20.7% | 0.96 | 0.79 | 2.2x | 3 | 33% |
| SMA 크로스오버 fast=47, slow=151 |
14.8% | -28.0% | 0.86 | 0.53 | 2.1x | 5 | 35% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=26, mult=1.6 |
13.7% | -22.0% | 0.73 | 0.62 | 2.0x | 26 | 35% |
| Supertrend period=13, mult=2.1 |
15.5% | -31.7% | 0.69 | 0.49 | 2.1x | 42 | 48% |
| ADX / DI 방향성 period=17, threshold=17 |
13.0% | -23.3% | 0.68 | 0.56 | 1.9x | 51 | 36% |
| Donchian 채널 돌파 entryN=126, exitN=38 |
9.5% | -19.2% | 0.66 | 0.49 | 1.6x | 5 | 27% |
| Parabolic SAR step=0.015, maxStep=0.1 |
14.2% | -35.6% | 0.64 | 0.40 | 2.0x | 80 | 46% |
| MACD fast=11, slow=40, signal=10 |
9.4% | -51.5% | 0.46 | 0.18 | 1.6x | 78 | 45% |
| Buy and hold | -0.4% | -75.1% | 0.18 | -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