Trend-Following Backtester · Guide · backtest 한국어
equity · US
Palantir Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of Palantir Technologies Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 55.3%, MDD -40.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 55.0%, drawdown -84.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 63.5%, MDD -40.6%, Sharpe 1.27, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 55.3%, MDD -40.6%, exposure 50%).
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=48, slow=207 |
63.5% | -40.6% | 1.27 | 1.56 | 17.6x | 6 | 53% |
| EMA 크로스오버 fast=47, slow=152 |
60.9% | -40.6% | 1.23 | 1.50 | 16.0x | 4 | 57% |
| Donchian 채널 돌파 entryN=115, exitN=52 |
55.3% | -40.6% | 1.17 | 1.36 | 13.0x | 4 | 50% |
| ROC 모멘텀 n=254, threshold=0.09 |
55.2% | -40.6% | 1.16 | 1.36 | 13.0x | 10 | 54% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=11, mult=3 |
24.2% | -23.9% | 1.02 | 1.01 | 3.5x | 10 | 7% |
| Supertrend period=15, mult=5 |
45.3% | -74.3% | 0.96 | 0.61 | 8.8x | 18 | 52% |
| MACD fast=6, slow=14, signal=13 |
32.1% | -68.1% | 0.81 | 0.47 | 5.1x | 134 | 51% |
| Parabolic SAR step=0.02, maxStep=0.24 |
29.2% | -47.5% | 0.77 | 0.61 | 4.5x | 126 | 51% |
| ADX / DI 방향성 period=14, threshold=25 |
25.0% | -49.2% | 0.76 | 0.51 | 3.7x | 34 | 23% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
20.1% | -56.0% | 0.64 | 0.36 | 2.9x | 26 | 37% |
| Buy and hold | 55.0% | -84.6% | 0.97 | 0.65 | 12.9x | 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 48-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 48-day average falls below the 207-day average