Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Sienna Senior Living Inc. backtest
10 trend-following strategies were compared on the full daily history of Sienna Senior Living Inc.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.5%, MDD -33.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.3%, drawdown -55.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.6%, MDD -34.7%, Sharpe 0.52, 92% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 21.1%p (CAGR 5.5%, MDD -33.2%, exposure 62%).
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=30, threshold=-0.08 |
7.6% | -34.7% | 0.52 | 0.22 | 3.3x | 59 | 92% |
| Supertrend period=17, mult=4.8 |
6.3% | -37.4% | 0.50 | 0.17 | 2.7x | 37 | 70% |
| SMA 크로스오버 fast=49, slow=145 |
5.5% | -33.2% | 0.47 | 0.17 | 2.4x | 28 | 62% |
| EMA 크로스오버 fast=51, slow=172 |
4.6% | -29.2% | 0.40 | 0.16 | 2.1x | 19 | 66% |
| Donchian 채널 돌파 entryN=34, exitN=75 |
4.6% | -41.5% | 0.38 | 0.11 | 2.1x | 35 | 74% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=8, mult=3.6 |
2.5% | -27.3% | 0.30 | 0.09 | 1.5x | 36 | 29% |
| 볼린저 밴드 돌파 n=63, k=2 |
2.0% | -25.3% | 0.23 | 0.08 | 1.4x | 64 | 43% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.1% | -38.3% | 0.08 | 0.00 | 1.0x | 135 | 60% |
| ADX / DI 방향성 period=21, threshold=35 |
0.1% | -3.4% | 0.07 | 0.04 | 1.0x | 10 | 3% |
| MACD fast=24, slow=54, signal=34 |
-1.3% | -50.5% | -0.02 | -0.03 | 0.8x | 127 | 52% |
| Buy and hold | 5.3% | -55.8% | 0.35 | 0.09 | 2.3x | 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 30-day return is greater than -8%
- Sell — Sell when the 30-day return drops to -8% or below