Trend-Following Backtester · Guide · backtest 한국어
equity · US
Parsons Corporation backtest
10 trend-following strategies were compared on the full daily history of Parsons Corporation. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.9%, MDD -7.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.7%, drawdown -64.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.9%, MDD -7.6%, Sharpe 0.93, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.5%, MDD -19.9%, exposure 36%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 56.8%p (CAGR 6.9%, MDD -7.6%, exposure 8%).
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=13, k=2.8 |
6.9% | -7.6% | 0.93 | 0.91 | 1.6x | 14 | 8% |
| Donchian 채널 돌파 entryN=75, exitN=22 |
10.5% | -19.9% | 0.71 | 0.53 | 2.1x | 16 | 36% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=27, mult=3.5 |
2.0% | -7.6% | 0.50 | 0.26 | 1.2x | 8 | 4% |
| ADX / DI 방향성 period=36, threshold=21 |
3.0% | -19.3% | 0.34 | 0.16 | 1.2x | 14 | 16% |
| SMA 크로스오버 fast=50, slow=230 |
5.3% | -51.5% | 0.34 | 0.10 | 1.5x | 10 | 54% |
| EMA 크로스오버 fast=21, slow=117 |
5.3% | -39.1% | 0.34 | 0.13 | 1.5x | 16 | 58% |
| ROC 모멘텀 n=113, threshold=0.01 |
4.6% | -42.2% | 0.31 | 0.11 | 1.4x | 56 | 56% |
| Supertrend period=29, mult=5 |
2.9% | -62.2% | 0.25 | 0.05 | 1.2x | 18 | 57% |
| MACD fast=12, slow=29, signal=8 |
-4.0% | -58.4% | -0.01 | -0.07 | 0.7x | 129 | 48% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-7.3% | -60.6% | -0.13 | -0.12 | 0.6x | 134 | 54% |
| Buy and hold | 6.7% | -64.4% | 0.37 | 0.10 | 1.6x | 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 13-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 13-day middle average