Trend-Following Backtester · Guide · backtest 한국어
equity · US
PNC Financial Services Group, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of PNC Financial Services Group, Inc. (The). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -77.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -56.9%, Sharpe 0.44, 64% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=27, slow=216 |
7.0% | -56.9% | 0.44 | 0.12 | 30.2x | 73 | 64% |
| EMA 크로스오버 fast=43, slow=151 |
5.9% | -59.6% | 0.39 | 0.10 | 18.2x | 77 | 65% |
| Donchian 채널 돌파 entryN=47, exitN=52 |
5.6% | -53.5% | 0.37 | 0.10 | 15.7x | 117 | 61% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=22, mult=2.9 |
1.4% | -9.5% | 0.35 | 0.15 | 2.0x | 20 | 2% |
| ROC 모멘텀 n=151, threshold=-0.03 |
5.0% | -72.5% | 0.34 | 0.07 | 11.7x | 329 | 69% |
| ADX / DI 방향성 period=42, threshold=18 |
3.0% | -38.3% | 0.34 | 0.08 | 4.4x | 96 | 17% |
| 볼린저 밴드 돌파 n=21, k=3.3 |
1.1% | -23.8% | 0.28 | 0.05 | 1.8x | 44 | 5% |
| Supertrend period=11, mult=5 |
3.3% | -66.9% | 0.27 | 0.05 | 5.3x | 171 | 56% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.9% | -86.7% | 0.14 | 0.01 | 1.6x | 421 | 55% |
| MACD fast=17, slow=43, signal=8 |
-2.8% | -96.3% | -0.04 | -0.03 | 0.2x | 780 | 50% |
| Buy and hold | 9.4% | -77.2% | 0.44 | 0.12 | 94.7x | 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 27-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 27-day average falls below the 216-day average