Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Pennant Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Pennant Group, Inc.. 8 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 20.3%, MDD -20.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.7%, drawdown -86.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.3%, MDD -20.4%, Sharpe 0.99, 22% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 22.4%, MDD -43.5%, exposure 42%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 65.9%p (CAGR 20.3%, MDD -20.4%, exposure 22%).
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=54, k=3.2 |
20.3% | -20.4% | 0.99 | 1.00 | 3.6x | 6 | 22% |
| Donchian 채널 돌파 entryN=113, exitN=37 |
21.3% | -25.1% | 0.92 | 0.85 | 3.8x | 6 | 30% |
| ADX / DI 방향성 period=24, threshold=27 |
15.2% | -24.8% | 0.85 | 0.61 | 2.7x | 12 | 16% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=28, mult=3.5 |
15.6% | -28.0% | 0.82 | 0.56 | 2.7x | 10 | 20% |
| EMA 크로스오버 fast=30, slow=196 |
22.4% | -43.5% | 0.78 | 0.51 | 4.0x | 7 | 42% |
| SMA 크로스오버 fast=58, slow=136 |
20.9% | -45.4% | 0.73 | 0.46 | 3.7x | 9 | 44% |
| Supertrend period=9, mult=4.9 |
20.2% | -66.9% | 0.64 | 0.30 | 3.6x | 15 | 66% |
| ROC 모멘텀 n=72, threshold=0.04 |
13.5% | -54.5% | 0.52 | 0.25 | 2.4x | 55 | 47% |
| Parabolic SAR step=0.01, maxStep=0.36 |
14.0% | -70.2% | 0.51 | 0.20 | 2.5x | 92 | 49% |
| MACD fast=17, slow=29, signal=12 |
13.5% | -70.9% | 0.51 | 0.19 | 2.4x | 96 | 48% |
| Buy and hold | 13.7% | -86.3% | 0.52 | 0.16 | 2.4x | 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 54-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 54-day middle average