Trend-Following Backtester · Guide · backtest 한국어
equity · US
PC Connection, Inc. backtest
10 trend-following strategies were compared on the full daily history of PC Connection, 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 6.4%, drawdown -95.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.5%, MDD -90.6%, Sharpe 0.32, 87% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 3.3%, MDD -44.7%, exposure 13%.
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=8, exitN=52 |
2.5% | -90.6% | 0.32 | 0.03 | 2.0x | 101 | 87% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
3.3% | -44.7% | 0.27 | 0.07 | 2.5x | 36 | 13% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=10, mult=3.9 |
2.3% | -33.8% | 0.27 | 0.07 | 1.9x | 16 | 4% |
| EMA 크로스오버 fast=46, slow=210 |
2.9% | -74.5% | 0.26 | 0.04 | 2.2x | 47 | 58% |
| ADX / DI 방향성 period=15, threshold=31 |
3.2% | -60.4% | 0.26 | 0.05 | 2.4x | 101 | 12% |
| SMA 크로스오버 fast=59, slow=200 |
2.4% | -83.2% | 0.26 | 0.03 | 2.0x | 49 | 55% |
| ROC 모멘텀 n=196, threshold=0.01 |
-0.1% | -88.8% | 0.19 | -0.00 | 1.0x | 233 | 57% |
| Supertrend period=8, mult=2.8 |
-1.3% | -85.5% | 0.19 | -0.01 | 0.7x | 199 | 55% |
| MACD fast=24, slow=37, signal=14 |
-2.1% | -81.6% | 0.18 | -0.03 | 0.5x | 333 | 51% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.4% | -85.5% | 0.12 | -0.04 | 0.4x | 355 | 49% |
| Buy and hold | 6.4% | -95.9% | 0.41 | 0.07 | 5.9x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 52 days