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.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 62.3%, MDD -40.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 65.2%, drawdown -84.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 62.3%, MDD -40.6%, Sharpe 1.26, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 44.0%p (CAGR 62.3%, MDD -40.6%, exposure 53%).
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 |
62.3% | -40.6% | 1.26 | 1.54 | 17.6x | 6 | 53% |
| EMA 크로스오버 fast=47, slow=152 |
61.7% | -40.6% | 1.25 | 1.52 | 17.2x | 5 | 57% |
| Donchian 채널 돌파 entryN=115, exitN=52 |
56.3% | -40.6% | 1.18 | 1.39 | 14.0x | 5 | 51% |
| ROC 모멘텀 n=254, threshold=0.09 |
55.6% | -40.6% | 1.17 | 1.37 | 13.7x | 11 | 54% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=11, mult=3 |
26.6% | -23.9% | 1.08 | 1.11 | 4.0x | 11 | 8% |
| Supertrend period=15, mult=5 |
47.7% | -74.3% | 0.99 | 0.64 | 10.1x | 19 | 52% |
| MACD fast=6, slow=14, signal=13 |
33.0% | -68.1% | 0.82 | 0.48 | 5.4x | 136 | 51% |
| Parabolic SAR step=0.02, maxStep=0.24 |
31.6% | -47.5% | 0.81 | 0.67 | 5.1x | 127 | 52% |
| ADX / DI 방향성 period=14, threshold=25 |
26.4% | -49.2% | 0.79 | 0.54 | 4.0x | 35 | 24% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
22.5% | -56.0% | 0.69 | 0.40 | 3.3x | 27 | 38% |
| Buy and hold | 65.2% | -84.6% | 1.06 | 0.77 | 19.5x | 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