Trend-Following Backtester · Guide · backtest 한국어
equity · US
Penumbra, Inc. backtest
10 trend-following strategies were compared on the full daily history of Penumbra, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.6%, drawdown -62.6%).
Sharpe leader (same as main): Supertrend — CAGR 14.9%, MDD -42.9%, Sharpe 0.62, 58% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=3.7 |
14.9% | -42.9% | 0.62 | 0.35 | 4.6x | 59 | 58% |
| SMA 크로스오버 fast=43, slow=197 |
14.6% | -50.8% | 0.60 | 0.29 | 4.5x | 14 | 66% |
| 볼린저 밴드 돌파 n=15, k=2.1 |
9.5% | -30.9% | 0.53 | 0.31 | 2.7x | 110 | 30% |
| ROC 모멘텀 n=129, threshold=-0.07 |
12.2% | -54.4% | 0.52 | 0.22 | 3.5x | 77 | 75% |
| MACD fast=15, slow=22, signal=9 |
11.3% | -47.5% | 0.51 | 0.24 | 3.2x | 198 | 51% |
| Donchian 채널 돌파 entryN=7, exitN=69 |
11.1% | -61.8% | 0.47 | 0.18 | 3.2x | 41 | 87% |
| EMA 크로스오버 fast=59, slow=210 |
10.0% | -54.6% | 0.46 | 0.18 | 2.9x | 13 | 73% |
| ADX / DI 방향성 period=20, threshold=12 |
8.3% | -42.5% | 0.42 | 0.20 | 2.4x | 148 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
7.1% | -61.5% | 0.38 | 0.12 | 2.1x | 152 | 56% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=20, mult=1.3 |
6.0% | -31.3% | 0.36 | 0.19 | 1.9x | 94 | 45% |
| Buy and hold | 20.6% | -62.6% | 0.66 | 0.33 | 7.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)