Trend-Following Backtester · Guide · backtest 한국어
equity · US
PRA Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of PRA Group, 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 5.6%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.7%, MDD -88.5%, Sharpe 0.23, 81% exposure.
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=13, exitN=70 |
1.7% | -88.5% | 0.23 | 0.02 | 1.5x | 75 | 81% |
| Supertrend period=13, mult=3.2 |
1.3% | -69.3% | 0.19 | 0.02 | 1.4x | 143 | 57% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
1.4% | -26.9% | 0.18 | 0.05 | 1.4x | 20 | 10% |
| ADX / DI 방향성 period=18, threshold=31 |
1.3% | -34.3% | 0.18 | 0.04 | 1.4x | 58 | 8% |
| Parabolic SAR step=0.01, maxStep=0.22 |
0.3% | -76.9% | 0.16 | 0.00 | 1.1x | 319 | 54% |
| EMA 크로스오버 fast=44, slow=212 |
0.4% | -83.6% | 0.15 | 0.00 | 1.1x | 37 | 57% |
| SMA 크로스오버 fast=28, slow=78 |
-1.0% | -73.2% | 0.10 | -0.01 | 0.8x | 89 | 56% |
| MACD fast=10, slow=36, signal=16 |
-3.6% | -85.2% | 0.03 | -0.04 | 0.4x | 366 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=2.1 |
-2.6% | -65.1% | -0.00 | -0.04 | 0.5x | 119 | 39% |
| ROC 모멘텀 n=95, threshold=0.05 |
-5.9% | -86.6% | -0.11 | -0.07 | 0.2x | 290 | 46% |
| Buy and hold | 5.6% | -83.8% | 0.34 | 0.07 | 3.6x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 70 days