Trend-Following Backtester · Guide · backtest 한국어
equity · US
SentinelOne, Inc. backtest
10 trend-following strategies were compared on the full daily history of SentinelOne, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.8%, MDD -7.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -12.0%, drawdown -84.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.3%, MDD -41.2%, Sharpe 0.53, 43% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.2%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 1.8%, MDD -7.7%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=62 |
13.3% | -41.2% | 0.53 | 0.32 | 1.9x | 27 | 43% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
5.6% | -15.9% | 0.50 | 0.36 | 1.3x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=3.2 |
1.8% | -7.7% | 0.42 | 0.24 | 1.1x | 2 | 1% |
| Supertrend period=18, mult=4.1 |
3.1% | -60.3% | 0.28 | 0.05 | 1.2x | 13 | 31% |
| EMA 크로스오버 fast=26, slow=74 |
3.1% | -52.7% | 0.27 | 0.06 | 1.2x | 11 | 30% |
| ROC 모멘텀 n=65, threshold=0.04 |
2.3% | -49.5% | 0.25 | 0.05 | 1.1x | 59 | 34% |
| Donchian 채널 돌파 entryN=97, exitN=29 |
2.2% | -38.3% | 0.23 | 0.06 | 1.1x | 7 | 16% |
| ADX / DI 방향성 period=36, threshold=18 |
-3.8% | -48.1% | -0.15 | -0.08 | 0.8x | 11 | 8% |
| MACD fast=7, slow=18, signal=8 |
-19.4% | -88.9% | -0.26 | -0.22 | 0.3x | 138 | 56% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-18.5% | -82.0% | -0.32 | -0.23 | 0.3x | 96 | 48% |
| Buy and hold | -12.0% | -84.4% | 0.12 | -0.14 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 62-day average
- Sell — Sell (to cash) when the 51-day average falls below the 62-day average