Trend-Following Backtester · Guide · backtest 한국어
equity · US
PulteGroup, Inc. backtest
10 trend-following strategies were compared on the full daily history of PulteGroup, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.4%, MDD -67.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.1%, drawdown -92.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.3%, MDD -28.8%, Sharpe 0.58, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.1%, MDD -87.1%, exposure 76%.
Return/drawdown alternative: Supertrend — CAGR is 8.7%p lower than buy and hold, while drawdown improves by 63.8%p (CAGR 11.4%, MDD -67.3%, exposure 55%).
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=53, k=3.5 |
6.3% | -28.8% | 0.58 | 0.22 | 17.4x | 22 | 7% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=3.8 |
8.4% | -45.6% | 0.51 | 0.18 | 41.8x | 122 | 25% |
| Supertrend period=23, mult=4.7 |
11.4% | -67.3% | 0.51 | 0.17 | 147.7x | 169 | 55% |
| Donchian 채널 돌파 entryN=28, exitN=71 |
12.1% | -87.1% | 0.50 | 0.14 | 201.5x | 113 | 76% |
| EMA 크로스오버 fast=33, slow=35 |
10.8% | -84.3% | 0.49 | 0.13 | 117.8x | 191 | 59% |
| SMA 크로스오버 fast=38, slow=209 |
9.9% | -75.9% | 0.46 | 0.13 | 80.8x | 69 | 57% |
| ADX / DI 방향성 period=32, threshold=31 |
4.6% | -34.6% | 0.46 | 0.13 | 8.1x | 26 | 5% |
| MACD fast=26, slow=44, signal=22 |
8.6% | -75.8% | 0.42 | 0.11 | 46.7x | 409 | 54% |
| ROC 모멘텀 n=104, threshold=0.03 |
7.4% | -89.4% | 0.39 | 0.08 | 27.4x | 436 | 53% |
| Parabolic SAR step=0.02, maxStep=0.12 |
1.2% | -94.6% | 0.19 | 0.01 | 1.7x | 893 | 53% |
| Buy and hold | 15.1% | -92.6% | 0.54 | 0.16 | 678.2x | 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 53-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 53-day middle average