Trend-Following Backtester · Guide · backtest 한국어
equity · US
PennyMac Mortgage Investment Trust backtest
10 trend-following strategies were compared on the full daily history of PennyMac Mortgage Investment Trust. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -3.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.1%, drawdown -80.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.8%, MDD -12.0%, Sharpe 0.49, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 68.2%p (CAGR 0.5%, MDD -3.3%, exposure 1%).
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=12, threshold=0.14 |
3.8% | -12.0% | 0.49 | 0.31 | 1.9x | 34 | 2% |
| ADX / DI 방향성 period=33, threshold=28 |
0.5% | -3.3% | 0.32 | 0.14 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=23, mult=2.9 |
1.2% | -16.5% | 0.23 | 0.07 | 1.2x | 16 | 4% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
1.4% | -16.9% | 0.23 | 0.08 | 1.3x | 10 | 5% |
| Donchian 채널 돌파 entryN=4, exitN=75 |
-2.9% | -67.6% | 0.03 | -0.04 | 0.6x | 74 | 90% |
| SMA 크로스오버 fast=9, slow=259 |
-1.2% | -49.9% | -0.01 | -0.02 | 0.8x | 34 | 47% |
| MACD fast=20, slow=27, signal=15 |
-2.2% | -48.1% | -0.02 | -0.05 | 0.7x | 214 | 51% |
| Supertrend period=25, mult=4.8 |
-4.1% | -62.3% | -0.09 | -0.07 | 0.5x | 56 | 51% |
| EMA 크로스오버 fast=18, slow=211 |
-2.7% | -61.7% | -0.10 | -0.04 | 0.6x | 38 | 47% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-7.1% | -71.7% | -0.29 | -0.10 | 0.3x | 144 | 52% |
| Buy and hold | -4.1% | -80.2% | 0.07 | -0.05 | 0.5x | 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 12-day return is greater than 14%
- Sell — Sell when the 12-day return drops to 14% or below