Trend-Following Backtester · Guide · backtest 한국어
equity · US
Planet Labs PBC backtest
10 trend-following strategies were compared on the full daily history of Planet Labs PBC. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 29.3%, MDD -39.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.8%, drawdown -85.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 48.2%, MDD -62.1%, Sharpe 0.93, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 34.4%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 29.3%, MDD -39.9%, exposure 26%).
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=28, slow=215 |
48.2% | -62.1% | 0.93 | 0.78 | 8.2x | 8 | 38% |
| Donchian 채널 돌파 entryN=80, exitN=41 |
46.2% | -62.2% | 0.91 | 0.74 | 7.6x | 6 | 38% |
| EMA 크로스오버 fast=43, slow=171 |
44.6% | -62.1% | 0.90 | 0.72 | 7.2x | 4 | 34% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
29.3% | -39.9% | 0.75 | 0.73 | 4.0x | 10 | 26% |
| ROC 모멘텀 n=84, threshold=0.14 |
31.0% | -55.3% | 0.75 | 0.56 | 4.2x | 30 | 32% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=0.9 |
29.5% | -73.9% | 0.71 | 0.40 | 4.0x | 32 | 35% |
| ADX / DI 방향성 period=43, threshold=19 |
22.8% | -46.5% | 0.65 | 0.49 | 3.0x | 10 | 29% |
| Parabolic SAR step=0.01, maxStep=0.14 |
22.5% | -80.0% | 0.63 | 0.28 | 3.0x | 64 | 43% |
| Supertrend period=9, mult=5 |
10.5% | -65.2% | 0.46 | 0.16 | 1.7x | 14 | 45% |
| MACD fast=15, slow=35, signal=8 |
8.6% | -87.2% | 0.42 | 0.10 | 1.6x | 104 | 52% |
| Buy and hold | 13.8% | -85.7% | 0.55 | 0.16 | 2.0x | 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 28-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 28-day average falls below the 215-day average