Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sonida Senior Living, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sonida Senior Living, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -54.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.2%, drawdown -98.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -54.8%, Sharpe 0.56, 30% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.9%, MDD -68.2%, exposure 43%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 12.3%, MDD -54.8%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=152, exitN=52 |
12.3% | -54.8% | 0.56 | 0.22 | 28.2x | 25 | 30% |
| SMA 크로스오버 fast=43, slow=195 |
12.9% | -68.2% | 0.52 | 0.19 | 32.5x | 35 | 43% |
| ROC 모멘텀 n=128, threshold=0.18 |
10.3% | -56.2% | 0.47 | 0.18 | 16.6x | 159 | 28% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=29, mult=3.9 |
7.8% | -68.3% | 0.44 | 0.11 | 8.7x | 40 | 13% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
7.9% | -71.2% | 0.43 | 0.11 | 9.0x | 40 | 16% |
| EMA 크로스오버 fast=14, slow=79 |
8.8% | -80.2% | 0.41 | 0.11 | 11.3x | 99 | 48% |
| ADX / DI 방향성 period=37, threshold=12 |
7.1% | -84.4% | 0.37 | 0.08 | 7.2x | 196 | 35% |
| Supertrend period=9, mult=5 |
7.1% | -95.9% | 0.37 | 0.07 | 7.2x | 83 | 51% |
| MACD fast=18, slow=39, signal=11 |
-2.5% | -92.2% | 0.15 | -0.03 | 0.5x | 390 | 51% |
| Parabolic SAR step=0.035, maxStep=0.12 |
-6.6% | -98.8% | 0.02 | -0.07 | 0.1x | 714 | 50% |
| Buy and hold | -6.2% | -98.5% | 0.18 | -0.06 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 152 days
- Sell — Sell when price breaks below the lowest low of the last 52 days