Trend-Following Backtester · Guide · backtest 한국어
equity · US
PPL Corporation backtest
10 trend-following strategies were compared on the full daily history of PPL Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -63.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.6%, MDD -66.8%, Sharpe 0.23, 86% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=87, threshold=-0.09 |
2.6% | -66.8% | 0.23 | 0.04 | 3.3x | 251 | 86% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
1.0% | -16.6% | 0.22 | 0.06 | 1.6x | 34 | 7% |
| Donchian 채널 돌파 entryN=26, exitN=61 |
2.0% | -76.8% | 0.20 | 0.03 | 2.5x | 125 | 73% |
| ADX / DI 방향성 period=15, threshold=48 |
0.5% | -12.1% | 0.19 | 0.04 | 1.3x | 18 | 1% |
| SMA 크로스오버 fast=50, slow=209 |
1.3% | -75.3% | 0.16 | 0.02 | 1.9x | 76 | 63% |
| EMA 크로스오버 fast=51, slow=190 |
1.2% | -82.9% | 0.15 | 0.01 | 1.7x | 74 | 64% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=22, mult=4 |
0.4% | -25.8% | 0.10 | 0.01 | 1.2x | 40 | 5% |
| Supertrend period=9, mult=3.8 |
0.4% | -67.0% | 0.10 | 0.01 | 1.2x | 228 | 54% |
| MACD fast=39, slow=58, signal=25 |
-1.5% | -80.5% | -0.03 | -0.02 | 0.5x | 341 | 52% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.9% | -80.2% | -0.13 | -0.04 | 0.3x | 592 | 51% |
| Buy and hold | 4.9% | -63.8% | 0.33 | 0.08 | 9.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 87-day return is greater than -9%
- Sell — Sell when the 87-day return drops to -9% or below