Trend-Following Backtester · Guide · backtest 한국어
equity · US
PJT Partners Inc. backtest
10 trend-following strategies were compared on the full daily history of PJT Partners Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.2%, MDD -44.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.5%, drawdown -58.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.5%, MDD -56.6%, Sharpe 0.63, 68% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 2.1%p (CAGR 14.2%, MDD -44.6%, exposure 82%).
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=36, slow=218 |
14.5% | -56.6% | 0.63 | 0.26 | 4.3x | 16 | 68% |
| Donchian 채널 돌파 entryN=20, exitN=60 |
14.2% | -44.6% | 0.61 | 0.32 | 4.2x | 29 | 82% |
| EMA 크로스오버 fast=8, slow=191 |
11.8% | -35.3% | 0.58 | 0.33 | 3.4x | 29 | 67% |
| Supertrend period=8, mult=3.9 |
11.3% | -53.3% | 0.56 | 0.21 | 3.2x | 49 | 65% |
| ROC 모멘텀 n=120, threshold=-0.04 |
11.5% | -35.3% | 0.55 | 0.33 | 3.3x | 69 | 73% |
| Parabolic SAR step=0.005, maxStep=0.28 |
7.8% | -39.6% | 0.44 | 0.20 | 2.3x | 89 | 55% |
| MACD fast=23, slow=43, signal=14 |
4.6% | -46.3% | 0.32 | 0.10 | 1.6x | 121 | 51% |
| ADX / DI 방향성 period=32, threshold=14 |
2.3% | -35.6% | 0.22 | 0.07 | 1.3x | 82 | 36% |
| 볼린저 밴드 돌파 n=50, k=1.7 |
2.1% | -45.7% | 0.20 | 0.05 | 1.3x | 59 | 42% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=1.3 |
-1.0% | -50.0% | 0.07 | -0.02 | 0.9x | 103 | 50% |
| Buy and hold | 17.5% | -58.8% | 0.64 | 0.30 | 5.7x | 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 36-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 36-day average falls below the 218-day average