Trend-Following Backtester · Guide · backtest 한국어
equity · US
Penguin Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Penguin Solutions, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 27.0%, MDD -43.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 23.8%, drawdown -68.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.0%, MDD -43.7%, Sharpe 0.80, 36% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 27.0%, MDD -43.7%, exposure 36%).
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=52, threshold=0.12 |
27.0% | -43.7% | 0.80 | 0.62 | 9.2x | 86 | 36% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=13, mult=4 |
10.6% | -25.8% | 0.62 | 0.41 | 2.6x | 10 | 6% |
| Donchian 채널 돌파 entryN=60, exitN=17 |
17.0% | -55.0% | 0.60 | 0.31 | 4.3x | 30 | 31% |
| SMA 크로스오버 fast=27, slow=71 |
17.2% | -62.6% | 0.58 | 0.28 | 4.4x | 32 | 50% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
15.8% | -61.4% | 0.56 | 0.26 | 3.9x | 44 | 36% |
| ADX / DI 방향성 period=16, threshold=38 |
9.2% | -27.1% | 0.53 | 0.34 | 2.3x | 10 | 5% |
| Supertrend period=17, mult=1.6 |
14.4% | -60.4% | 0.53 | 0.24 | 3.5x | 138 | 53% |
| EMA 크로스오버 fast=24, slow=39 |
10.3% | -66.9% | 0.44 | 0.15 | 2.5x | 44 | 51% |
| MACD fast=7, slow=35, signal=6 |
6.6% | -65.3% | 0.37 | 0.10 | 1.8x | 234 | 52% |
| Parabolic SAR step=0.02, maxStep=0.14 |
5.2% | -63.3% | 0.34 | 0.08 | 1.6x | 186 | 52% |
| Buy and hold | 23.8% | -68.7% | 0.66 | 0.35 | 7.3x | 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 52-day return is greater than 12%
- Sell — Sell when the 52-day return drops to 12% or below